Akademik Veri Yönetim Sistemi
Tezin Türü: Yüksek Lisans
Tezin Yürütüldüğü Kurum: Orta Doğu Teknik Üniversitesi, İktisadi ve İdari Bilimler Fakültesi, İktisat Bölümü, Türkiye
Tezin Onay Tarihi: 2014
Tezin Dili: İngilizce
Öğrenci: Berkay Akyapı
Danışman: SERKAN KÜÇÜKŞENEL
Özet:Index Options have been used more than forty years in international financial markets. These types of options have been used in Turkey since December 21, 2012. They are very important derivatives as they cause leverage effect on returns, and they also help to get information about the investors’ expectations related to future prices of the financial assets. In addition to these features they are perfect instruments in order to hedge future risks. In this thesis, we analyze the very new index option markets in Turkey. The analysis is performed for European options which exist for only one index (BIST30). The extension to American Options may be done by using similar methods used in this thesis. We compare observed and theoretical values of options and construct well known portfolios (Put-Call Parity) in order to check for arbitrage opportunities. We show that there were arbitrage opportunities in the market and they began to diminish after some point. We also argue that Black-Scholes-Merton model does not price efficiently index options in Turkey or the pricing of options in Turkey is not efficient due to these differences between observed and theoretical values and arbitrage opportunities at some data points. We believe that this first analysis of index options market in Turkey and hopefully proceeding papers will help to increase people’s awareness of options and consequently increase the volume of the market.