Title :
Positive analysis of the stock option pricing model
Author_Institution :
College of Science, Zhejiang University of Science and Technology, Hangzhou, China
Abstract :
This paper not only introduces binomial tree model and Black-Scholes model of pricing stock option, but also adjusts the two model to real-world data. Through the close price data of the Disney Stock, we estimate the parameters in the two models, price the option of the Disney Stock with the software of Excel and Matlab. At last the advantages and disadvantages of the two models are compared and advice will be given how to use the two models to price different options.
Keywords :
Analytical models; Data models; Economic indicators; Europe; Mathematical model; Pricing; Software; Black-Scholes model; binomial tree model; positive analysis;
Conference_Titel :
Information Science and Engineering (ICISE), 2010 2nd International Conference on
Conference_Location :
Hangzhou, China
Print_ISBN :
978-1-4244-7616-9
DOI :
10.1109/ICISE.2010.5690946
