Detailed Information on Publication Record
2014
Difference in Option Pricing Between Binomial and Black-Scholes Model
FLORIANOVÁ, Hana and Barbora CHMELÍKOVÁBasic information
Original name
Difference in Option Pricing Between Binomial and Black-Scholes Model
Authors
FLORIANOVÁ, Hana (203 Czech Republic, guarantor, belonging to the institution) and Barbora CHMELÍKOVÁ (203 Czech Republic, belonging to the institution)
Edition
1st edition. Ostrava, Managing and Modelling of Financial Risks, p. 198-202, 5 pp. 2014
Publisher
VŠB-Technická univerzita Ostrava, Ekonomická fakulta, Katedra financí
Other information
Language
English
Type of outcome
Stať ve sborníku
Field of Study
50600 5.6 Political science
Country of publisher
Czech Republic
Confidentiality degree
není předmětem státního či obchodního tajemství
Publication form
printed version "print"
RIV identification code
RIV/00216224:14560/14:00077218
Organization unit
Faculty of Economics and Administration
ISBN
978-80-248-3631-7
UT WoS
000350605800024
Keywords in English
Option pricing; Black-Scholes model; Binomial model
Tags
International impact, Reviewed
Změněno: 20/11/2015 13:33, Mgr. et Mgr. Bc. Hana Florianová
Abstract
V originále
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.
Links
| MUNI/A/0786/2013, interní kód MU |
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