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Estimating Binomial and Black & Scholes Option Pricing Models: Excel, R Language, and SAS Program Approach

In: Handbook of Investment Analysis, Portfolio Management, and Financial Derivatives In 4 Volumes

Author

Listed:
  • LiJane Kao
  • John Lee
  • Cheng Few Lee

Abstract

In this chapter, we show how Excel and R language programming can be used to estimate the European call/put prices based on Black–Scholes model as well as binomial option pricing model. Different underlings are considered, including individual stocks, currency, and stock indices. SAS language programming to estimate the European call/put prices based on binomial option pricing model and Black–Scholes option pricing model are given in the appendices.

Suggested Citation

  • LiJane Kao & John Lee & Cheng Few Lee, 2024. "Estimating Binomial and Black & Scholes Option Pricing Models: Excel, R Language, and SAS Program Approach," World Scientific Book Chapters, in: Cheng Few Lee & Alice C Lee & John C Lee (ed.), Handbook of Investment Analysis, Portfolio Management, and Financial Derivatives In 4 Volumes, chapter 69, pages 2177-2195, World Scientific Publishing Co. Pte. Ltd..
    • Handle: RePEc:wsi:wschap:9789811269943_0069
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    Keywords

    Financial Accounting; Financial Auditing; Mutual Funds; Hedge Funds; Asset Pricing; Options; Portfolio Analysis; Risk Management; Investment Analysis; Momentum Analysis; Behavior Analysis; Futures; Index Futures; CDCs; Financial Econometrics; Statistics; Financial Derivatives; Financial Accounting;
    All these keywords.

    JEL classification:

    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • G1 - Financial Economics - - General Financial Markets
    • M41 - Business Administration and Business Economics; Marketing; Accounting; Personnel Economics - - Accounting - - - Accounting
    • M42 - Business Administration and Business Economics; Marketing; Accounting; Personnel Economics - - Accounting - - - Auditing
    • G3 - Financial Economics - - Corporate Finance and Governance

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