Option pricing under Black–Scholes, Boness and Binomial tree models- evidence from the gold coin option contracts in Iran mercantile exchange Mahdie Amiri
The purpose of this research is the pricing of gold coin option contracts in Iran mercantile exchange. The price of gold coin option contracts has been estimated by the Black–Scholes,Boness and Binomial tree models.For this purpose, the theoretical prices Have been compared whith the Black- Scholes...
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| Format: | Article |
| Language: | fas |
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Securities Exchange
2020-08-01
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| Series: | فصلنامه بورس اوراق بهادار |
| Subjects: | |
| Online Access: | https://journal.seo.ir/article_11182_0f33d72a78b6a8e244eb599910b1f92e.pdf |
| _version_ | 1818207068058812416 |
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| author | Mahdie Amiri |
| author_facet | Mahdie Amiri |
| author_sort | Mahdie Amiri |
| collection | DOAJ |
| description | The purpose of this research is the pricing of gold coin option contracts in Iran mercantile exchange. The price of gold coin option contracts has been estimated by the Black–Scholes,Boness and Binomial tree models.For this purpose, the theoretical prices Have been compared whith the Black- Scholes method for each maturity from December 2016 to November 2017.The theoretical prices of the option contracts have been compared with market prices in Iran mercantile exchange.The volatility of the gold coin in the market has been estimated by the GARCH method as a variable in the pricing models.The comparison of pricing call options indicates that the theoretical prices of the call option based on Black- Scholes method were more than the theoretical prices on the Boness method.The comparison of pricing put options indicates The theoretical prices of the put option based on Black- Scholes method were lower than the theoretical prices based on Binomial tree method at the level of the strike price 12750000 Rials. |
| first_indexed | 2024-12-12T04:23:02Z |
| format | Article |
| id | doaj.art-f099f7114799443c9a3f5c4946bea8c6 |
| institution | Directory Open Access Journal |
| issn | 2228-5431 2820-9893 |
| language | fas |
| last_indexed | 2024-12-12T04:23:02Z |
| publishDate | 2020-08-01 |
| publisher | Securities Exchange |
| record_format | Article |
| series | فصلنامه بورس اوراق بهادار |
| spelling | doaj.art-f099f7114799443c9a3f5c4946bea8c62022-12-22T00:38:17ZfasSecurities Exchangeفصلنامه بورس اوراق بهادار2228-54312820-98932020-08-01135014117010.22034/jse.2020.11091.133311182Option pricing under Black–Scholes, Boness and Binomial tree models- evidence from the gold coin option contracts in Iran mercantile exchange Mahdie AmiriMahdie Amiri0Economic consultantThe purpose of this research is the pricing of gold coin option contracts in Iran mercantile exchange. The price of gold coin option contracts has been estimated by the Black–Scholes,Boness and Binomial tree models.For this purpose, the theoretical prices Have been compared whith the Black- Scholes method for each maturity from December 2016 to November 2017.The theoretical prices of the option contracts have been compared with market prices in Iran mercantile exchange.The volatility of the gold coin in the market has been estimated by the GARCH method as a variable in the pricing models.The comparison of pricing call options indicates that the theoretical prices of the call option based on Black- Scholes method were more than the theoretical prices on the Boness method.The comparison of pricing put options indicates The theoretical prices of the put option based on Black- Scholes method were lower than the theoretical prices based on Binomial tree method at the level of the strike price 12750000 Rials.https://journal.seo.ir/article_11182_0f33d72a78b6a8e244eb599910b1f92e.pdfoptionblack- scholes methodboness methodbinomial trees method |
| spellingShingle | Mahdie Amiri Option pricing under Black–Scholes, Boness and Binomial tree models- evidence from the gold coin option contracts in Iran mercantile exchange Mahdie Amiri فصلنامه بورس اوراق بهادار option black- scholes method boness method binomial trees method |
| title | Option pricing under Black–Scholes, Boness and Binomial tree models- evidence from the gold coin option contracts in Iran mercantile exchange
Mahdie Amiri |
| title_full | Option pricing under Black–Scholes, Boness and Binomial tree models- evidence from the gold coin option contracts in Iran mercantile exchange
Mahdie Amiri |
| title_fullStr | Option pricing under Black–Scholes, Boness and Binomial tree models- evidence from the gold coin option contracts in Iran mercantile exchange
Mahdie Amiri |
| title_full_unstemmed | Option pricing under Black–Scholes, Boness and Binomial tree models- evidence from the gold coin option contracts in Iran mercantile exchange
Mahdie Amiri |
| title_short | Option pricing under Black–Scholes, Boness and Binomial tree models- evidence from the gold coin option contracts in Iran mercantile exchange
Mahdie Amiri |
| title_sort | option pricing under black scholes boness and binomial tree models evidence from the gold coin option contracts in iran mercantile exchange mahdie amiri |
| topic | option black- scholes method boness method binomial trees method |
| url | https://journal.seo.ir/article_11182_0f33d72a78b6a8e244eb599910b1f92e.pdf |
| work_keys_str_mv | AT mahdieamiri optionpricingunderblackscholesbonessandbinomialtreemodelsevidencefromthegoldcoinoptioncontractsiniranmercantileexchangemahdieamiri |