Date of Award
Master of Science (MS)
Economics and Finance
Tyler J. Brough
This thesis presents indication of mispricing of options in the Chinese option market, focusing on the very first and the most representative option in the Chinese option market. I used the Black-Scholes model to calculate the option price and compare the result to its real performance. The mispricing of sample option is statistically significant. With further analysis, I found out that underlying asset price and its volatility are the possible factors that most likely lead to mispricing. Because of the consistent mispricing, I investigated the industrial regulations from the China Securities Regulatory Commission (CSRC) and found proof with examples that barriers to arbitrages do affect the consistent mispricing. The barriers prevent arbitrageurs to take full advantage of mispriced options and stocks.
Feng, Hao, "Indication with Further Analysis of Mispricing and Barriers in Arbitrage in Chinese Option Market A Five-Month Study on Sample Option" (2013). All Graduate Plan B and other Reports. Paper 313.
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