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IMKB’de Islem Goren Araci Kurulus Varantlari icin Etkin Fiyatlama Modelinin Belirlenmesi

Author

Listed:
  • Rifat KARAKUS

    (Cankiri Karatekin Universitesi, Meslek Yuksek Okulu, Yonetim ve Organizasyon Bolumu)

  • Israfil ZOR

    (Kirikkale Universitesi, Iktisadi ve Idari Bilimler Fakultesi, Isletme Bolumu)

Abstract

Bu calismada, IMKB’de islem goren araci kurulus varantlari icin hangi fiyatlama modelinin etkin oldugunun belirlenmesi amaclanmistir. 2012 yilinda islem goren, IMKB-30 endeksine dayali 61 alim varantina ait 3,000’den fazla gozlem kullanilarak Black-Scholes, Black-Scholes-Merton, Varyansin Sabit Esnekligi (Karekok Modeli) ve Binomial modeller ile hesaplanan gunluk varant fiyatlarinin piyasa fiyatindan farklilasmalari dikkate alinarak test edilmistir. Karda/zararda olma durumlarina gore 3 gruba ayrilan varantlar icin modellerden elde edilen fiyatlar ile piyasa fiyatlarinin istatistiksel olarak farklilasmasi bagimsiz t testi kullanilarak tespit edilmistir. Calisma sonucunda karda olan varantlar icin Black-Scholes-Merton modeli etkin model olarak belirlenirken, basabas ve zararda olan varantlar icin Black-Scholes modeli ile Black-Scholes-Merton modelleri arasinda kararsiz kalinmistir.

Suggested Citation

  • Rifat KARAKUS & Israfil ZOR, 2014. "IMKB’de Islem Goren Araci Kurulus Varantlari icin Etkin Fiyatlama Modelinin Belirlenmesi," Ege Academic Review, Ege University Faculty of Economics and Administrative Sciences, vol. 14(1), pages 63-71.
    • Handle: RePEc:ege:journl:v:14:y:2014:i:1:p:63-71
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    More about this item

    Keywords

    Varant; opsiyon fiyatlama modelleri; IMKB.;
    All these keywords.

    JEL classification:

    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
    • G23 - Financial Economics - - Financial Institutions and Services - - - Non-bank Financial Institutions; Financial Instruments; Institutional Investors

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