Option Pricing: A Theoretical as well as Practical View
Gupta, Devika (2009) Option Pricing: A Theoretical as well as Practical View. [Dissertation (University of Nottingham only)] (Unpublished)
This particular study has been undertaken to form a basis of comparison in the 2 main pricing techniques for options, the Black Scholes model and the Binomial Lattice model. The Black Scholes has been the fundamental model for option pricing but has certain limitations. These limitations of the model have been provided for in the Binomial Tree model. Due to this, the Binomial Tree model is used for valuing American options taking real time market data for a stock option that trades on NASDAQ under the Chicago Board Options Exchange which is then compared to the actual price of the option for that given data. This is done with a view to develop a program that has the ability to calculate the price of an option using real time data as close to the actual market price of the option.
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