Open AccessA Comparative Study of Pricing Option with Efficient Methods
Author(s) -
Sujon Chandra Sutradhar,
Anowar Hossain
Publication year - 2021
Publication title -
gub journal of science and engineering
Language(s) - English
Resource type - Journals
ISSN - 2409-0476
DOI - 10.3329/gubjse.v7i0.54024
Subject(s) - trinomial tree , monte carlo methods for option pricing , valuation of options , binomial options pricing model , trinomial , finite difference methods for option pricing , black–scholes model , python (programming language) , computer science , exotic option , valuation (finance) , monte carlo method , stock options , econometrics , actuarial science , economics , mathematics , finance , volatility (finance) , programming language , statistics , discrete mathematics
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