文章基本信息

标题：Comparison: Binomial model and Black Scholes model
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作者：Anni Faridah ; Simon Bambang Widjanarko
期刊名称：Quantitative Finance and Economics
电子版ISSN：2573-0134
出版年度：2018
卷号：2
期号：1
页码：230-245
DOI：10.3934/QFE.2018.1.230
语种：English
出版社：AIMS Press
摘要：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.
关键词：European options;Binominal model;Black Scholes model;t-test;Tukey model