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Comparison: Binomial model and Black Scholes model
Quantitative Finance and Economics ( IF 3.2 ) Pub Date : 2018-01-01 , DOI: 10.3934/qfe.2018.1.230
Amir Ahmad Dar , , N. Anuradha ,

The Binomial Model and the Black Scholes Model are the popular methods that are used to solve the option pricing problems. Binomial Model is a simple statistical method and Black Scholes model requires a solution of a stochastic differential equation. Pricing of European call and a put option is a very difficult method used by actuaries. The main goal of this study is to differentiate the Binominal model and the Black Scholes model by using two statistical model - t-test and Tukey model at one period. Finally, the result showed that there is no significant difference between the means of the European options by using the above two models.

中文翻译:

比较:二项式模型和Black Scholes模型

二项式模型和布莱克斯科尔斯模型是用于解决期权定价问题的流行方法。二项式模型是一种简单的统计方法,而Black Scholes模型则需要求解随机微分方程。欧式看涨期权和看跌期权的定价是精算师使用的一种非常困难的方法。这项研究的主要目标是通过同时使用两个统计模型-t检验和Tukey模型来区分二项式模型和Black Scholes模型。最后,结果表明,使用以上两个模型,欧洲期权的方法之间没有显着差异。
更新日期:2018-01-01
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