Publication details

Difference in Option Pricing Between Binomial and Black-Scholes Model

Authors

FLORIANOVÁ Hana CHMELÍKOVÁ Barbora

Year of publication 2014
Type Article in Proceedings
Conference Managing and Modelling of Financial Risks
MU Faculty or unit

Faculty of Economics and Administration

Citation
Field Management and administrative
Keywords Option pricing; Black-Scholes model; Binomial model
Description 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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