M.Sc. Tezi Görüntüleme

Student:	Devran YAZIR
Supervisor:	Prof.Dr. Erhan COŞKUN
Department:	Matematik
Institution:	Graduate School of Natural and Applied Sciences
University:	Karadeniz Technical University, Turkey

Title of the Thesis:	The Linear Regression Approach For The Black-Scholes Option Model
Level:	M.Sc.
Acceptance Date:	19/1/2011
Number of Pages:	93
Registration Number:	i2278

Summary:

The Linear Regression Approach For The Black&Scholes Option Model

In this study, the effects of underlying price, exercise price, interest rate, volatility and expiry date on call and put option prices are analyzed in Black&Scholes model of option pricing. Linear regression models are obtained for the put option and the call option in the neighborhood of exercise price. The compatibility of the linear regression models with Black&Scholes model is analyzed interactively using Matlab Graphical User Interface (GUI).

Key Words: Black-Scholes Model, Option, Call Option, Put Option, volatility, Underlying Price, Exercise Price, Interest Rate, Expiry Date.