Option Pricing Under Black– Scholes, Boness and Binomial Tree Models-Evidence from the Gold Coin Option Contracts in Iran Mercantile Exchange

Q: How can I download an article?

To download an article from SID, first log in to the site, search for the article title, and click on the 'Download Article' option.

Q: How can I download an ISI article?

To download an ISI article on SID, enter the keyword or article title in the search bar, view the relevant results, click on the desired article, and select the 'Download Article' option.

Q: How can I access the SID database?

To access the SID database, visit SID.ir, create an account, and log in to access scientific resources.

Q: Is downloading articles from SID free?

Some articles on SID are available for free, while others require payment. Details are specified on the article's page.

Amiri Mahdie

مرکز اطلاعات علمی Scientific Information Database (SID) - Trusted Source for Research and Academic Resources

Journal Paper

Paper Information

Journal: JOURNAL OF SECURITIES EXCHANGE Year:2020 | Volume:13 | Issue:50 Page(s): 141-170

Download Full-Text

Persian Verion

View:

317

Download:

Cites:

Information Journal Paper

Title

Option Pricing Under Black– Scholes, Boness and Binomial Tree Models-Evidence from the Gold Coin Option Contracts in Iran Mercantile Exchange

Author(s)

Amiri Mahdie | Issue Writer Certificate

Keywords

Option

Black-Scholes Method

Boness Method

Binomial Trees Method

Abstract

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.

Cites

No record.

References

No record.

Cite

APA: Copy

Amiri, Mahdie. (2020). Option Pricing Under Black– Scholes, Boness and Binomial Tree Models-Evidence from the Gold Coin Option Contracts in Iran Mercantile Exchange. JOURNAL OF SECURITIES EXCHANGE, 13(50 ), 141-170. SID. https://sid.ir/paper/954737/en

Vancouver: Copy

Amiri Mahdie. Option Pricing Under Black– Scholes, Boness and Binomial Tree Models-Evidence from the Gold Coin Option Contracts in Iran Mercantile Exchange. JOURNAL OF SECURITIES EXCHANGE[Internet]. 2020;13(50 ):141-170. Available from: https://sid.ir/paper/954737/en

IEEE: Copy

Mahdie Amiri, “Option Pricing Under Black– Scholes, Boness and Binomial Tree Models-Evidence from the Gold Coin Option Contracts in Iran Mercantile Exchange,” JOURNAL OF SECURITIES EXCHANGE, vol. 13, no. 50 , pp. 141–170, 2020, [Online]. Available: https://sid.ir/paper/954737/en

Related Journal Papers

No record.

Related Seminar Papers

No record.

Related Plans

No record.

Recommended Workshops