Difference in Option Pricing Between Binomial and Black-Scholes Model
| Autoři | |
|---|---|
| Rok publikování | 2014 |
| Druh | Článek ve sborníku |
| Konference | Managing and Modelling of Financial Risks |
| Fakulta / Pracoviště MU | |
| Citace | |
| Obor | Řízení, správa a administrativa |
| Klíčová slova | Option pricing; Black-Scholes model; Binomial model |
| Popis | The aim of our research is to compare Binomial and Black-Scholes option pricing model. We have selected options whose underlying assets are shares as well as indices under the condition that all these financial instruments have the same expiration date. We have examined whether the values obtained from Binomial model differ significantly from the values calculated by Black-Scholes model. Finally, these computations from both models have been compared with the real market price quoted in the financial market. |
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