The Valuation of Up and in Barrier Options on the Tesla Index

Yangchi Chen; Sirui Wen; Yuying Xing

doi:10.2991/aebmr.k.220307.426

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The Valuation of Up and in Barrier Options on the Tesla Index

Authors

Yangchi Chen¹^{, †}, Sirui Wen²^{, *}^{, †}, Yuying Xing³^{, †}

¹Smeal College of Business The Pennsylvania State University, 16802, University Park , Pennsylvania in United States

²College Of Arts And Science, The University of Nebraska Lincoln, 68588, Nebraska Lincoln United States

³Faculty of Economics and Management, East China Normal University, 200062, Shanghai, China

^†

These authors contributed equally.

^*Corresponding author Email: sirui1106@huskers.unl.edu

Corresponding Author

Sirui Wen

Available Online 26 March 2022.

DOI: 10.2991/aebmr.k.220307.426 How to use a DOI?
Keywords: Barrier Option; Tesla Index; Sensitivity analysis
Abstract: This research researched to evaluate the valuation of in and up barrier methods in Tesla’s index. This research used the pricing model of barrier methods and, specifically, the Black Scholes model. The model is favorable for some reasons such as being less costly than conventional models that attract investors who presume that there will not be a trigger on their barrier option. This research obtained the valuation of the up-and-in barrier option of Tesla’s index and compared it to the standard European options price option. The comparison in the model involved a sensitivity analysis of the independent variables against the dependent variables where barrier, spot price, volatility, and strike price are the independent variables against the dependent variable of the option price. This research then adjusted the independent variables multiple times to observe option price behavior under the same conditions. The results were that the option price fell as barrier and strike price decreased. The spot price also increased with an increase in volatility and spot price. The evaluation is thus essential to forecast Tesla’s performance in terms of profitability and growth based on the most appropriate barrier option. Investors will be more informed on the most appropriate barrier option to purchase with the most reasonable chances of return based on the option price and the sensitivity of the independent variables such as volatility and spot price. Tesla’s investors will be in a position to make appropriate investment decisions.
Open Access: This is an open access article under the CC BY-NC license.

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Volume Title: Proceedings of the 2022 7th International Conference on Financial Innovation and Economic Development (ICFIED 2022)
Series: Advances in Economics, Business and Management Research
Publication Date: 26 March 2022
ISBN: 978-94-6239-554-1
ISSN: 2352-5428
DOI: 10.2991/aebmr.k.220307.426 How to use a DOI?
Open Access: This is an open access article under the CC BY-NC license.

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ris enw bib

TY  - CONF
AU  - Yangchi Chen
AU  - Sirui Wen
AU  - Yuying Xing
PY  - 2022
DA  - 2022/03/26
TI  - The Valuation of Up and in Barrier Options on the Tesla Index
BT  - Proceedings of the 2022 7th International Conference on Financial Innovation and Economic Development (ICFIED 2022)
PB  - Atlantis Press
SP  - 2617
EP  - 2622
SN  - 2352-5428
UR  - https://doi.org/10.2991/aebmr.k.220307.426
DO  - 10.2991/aebmr.k.220307.426
ID  - Chen2022
ER  -

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