The comparative analysis for MSFT

Time: Dec. 25, 2002.

Breed: The option contract on MSFT.

Maturity: Expires After: Fri,16-Jan-04.

Underlying: Close price of MSFT at current date, 53.39$.

In table 2, there are the prices on Dec.24, 2002, which were the closing prices traded actually in the United States option market (TP), the call and put options prices calculated by DF structure formulas, (DF) , and the call and put options prices calculated by B-S formulas, (B-S). According to the data from table 2, it is difficult to know whether the DF formula is better than B-S formula or not, we should do further empirical research. Taking the strike price, X=60, and T=212 for example, the variety of call and put option prices calculated by DF formulas and B-S formulas are respectively shown in figure 6.2(a) and 6.2(b).

The comparing analysis for SDL

Because there is no stock option in the Chinese security market, we will make a hypothetic contrastive analysis of SDL. Let Maturity=199, Strike price of option: X=15. Current price of stock: S(t)=16.5. Thus, the variety of call and put option prices calculated by DF formula and B-S formula are respectively shown in figure 6.3(a) and 6.3(b).

Again if Strike price of option: X=16.5, Current price of stock: S(t)=15. thus, the variety of call and put option prices calculated by DF formula and B-S formula are respectively shown in figure 6.4(a) and 6.4(b).

Prof. Feng Dai, Prof. Zifu Qin