A Comparative Study of Pricing Option with Efficient Methods

Authors

  • Sujon Chandra Sutradhar Department of Applied Mathematics, University of Dhaka, Dhaka, Bangladesh
  • ABM Shahadat Hossain Department of Applied Mathematics, University of Dhaka, Dhaka, Bangladesh

DOI:

https://doi.org/10.3329/gubjse.v7i0.54024

Keywords:

Binomial method, Trinomial method, Monte Carlo simulation, Black-Scholes-Merton model.

Abstract

Our main objective of this paper is to introduce four individual techniques of pricing options; the techniques are Binomial method, Trinomial method, Monte Carlo simulation and Black-Scholes-Merton model. Because they play a significant role in option valuation of stock price dynamics, risk managements as well as stock market. In this paper, we briefly discuss all these four methods with their properties and behavior. We also focused on numerical technique for the higher accuracy of option pricing and compare them graphically. We use the Computer Algebra System (CAS) Python (Edition 2019.3.1) for this purpose.

GUB JOURNAL OF SCIENCE AND ENGINEERING, Vol 7, Dec 2020 P 1-7

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Published

2021-07-07

How to Cite

Sutradhar, S. C., & Hossain, A. S. (2021). A Comparative Study of Pricing Option with Efficient Methods. GUB Journal of Science and Engineering, 7, 1–7. https://doi.org/10.3329/gubjse.v7i0.54024

Issue

Vol 7 No 1 (2020)

Section

Articles

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