Options Pricing by Monte Carlo Simulation, Binomial Tree and BMS Model: a comparative study of Nifty50 options index
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References listed on IDEAS
- Jying-Nan Wang & Hung-Chun Liu & Lu-Jui Chen, 2017. "On Forecasting Taiwanese Stock Index Option Prices: The Role of Implied Volatility Index," International Journal of Economics and Finance, Canadian Center of Science and Education, vol. 9(9), pages 133-136, September.
- Poon, Ser-Huang, 2005. "Asset Pricing in Discrete Time: A Complete Markets Approach," OUP Catalogue, Oxford University Press, number 9780199271443.
- Black, Fischer & Scholes, Myron S, 1973. "The Pricing of Options and Corporate Liabilities," Journal of Political Economy, University of Chicago Press, vol. 81(3), pages 637-654, May-June.
- Cox, John C. & Ross, Stephen A. & Rubinstein, Mark, 1979. "Option pricing: A simplified approach," Journal of Financial Economics, Elsevier, vol. 7(3), pages 229-263, September.
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Cited by:
- Shvimer, Yossi & Herbon, Avi, 2020. "Comparative empirical study of binomial call-option pricing methods using S&P 500 index data," The North American Journal of Economics and Finance, Elsevier, vol. 51(C).
- Ramona Birau & Jatin Trivedi & Cristi Spulbar, 2021. "Estimating Volatility and Investment Risk: An Empirical Case Study for NIFTY MIDCAP 50 Index of National Stock Exchange (NSE) in India," Ovidius University Annals, Economic Sciences Series, Ovidius University of Constantza, Faculty of Economic Sciences, vol. 0(1), pages 691-696, August.
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More about this item
Keywords
options pricing; option markets; Black-Scholes model; Binomial model; Monte-Carlo Simulation model; Greek letters;All these keywords.
JEL classification:
- C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
- C15 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Statistical Simulation Methods: General
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
- G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
- G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
- G17 - Financial Economics - - General Financial Markets - - - Financial Forecasting and Simulation
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