- UGGETION A COMPOED OPTION PRICING MODEL BAED ON BLACK-CHOLE AND BINOMIAL TREE MODEL (CAE TUDY IN TEHRAN TOCK EXCHANGE) A.M. Kimiagari & E. Aarieh ani Department o Inustrial Eng, kimiagar@aut.ac.ir, ehsan.aarieh@gmail.com Abstract: This paper suggests a compose option pricing moel base on black-scholes an binomial tree moels. o at irst this two moels are presente an analyze. Then we showe black-scholes moel is an appropriate option pricing moel or stocks with low an binomial trees moel is an appropriate option pricing moel or stocks with high. uggeste moel is a compose moel o black-scholes an binomial tree moels an is use as selecting moel actor. To etermine limit quantity, we calculate average o Iran tock Exchange. For this calculating we selecte 3 stocks in two perio o time. At the en o paper, suggeste moel is valiate by methos an it s valiity is approve by both o them. ( ) :..... -.. :..... // : // : kimiagar@aut.ac.ir ehsan.aarieh@gmail.com
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..-... :. - -.--.... question1 question question3 question4 question5 question6 Item tatistics Mean t. Deviation N 4.70.483 10 4.10.738 10 4.0.63 10 3.90.568 10 4.10.738 10 4.0.63 10.-- µ 3. <µ. - : : +, -, +, -,. : +,. -,. 095 1155 091 13 157 19 19693 19898 1969 - +,. -,. 136 140 1301 1705 473 1567 303 33 35 559 631 543 16176 16161 16143 1059 1088 0977 - - -
.. [1] Hsia, C., On the Binomial Option Pricing. The journal o inancial research, 1983, PP 41-4. [] Oluemi olusola, Oegbile. "Binomial option pricing moel". Arican Institute or Mathematical cience, Ross, helon. An elementary introuction to mathematical inance: options an other topics. th e. America: Cambrige university press, 003. [3] Black, F.; choles, M., The Pricing o Options an Corporate Liabilities, Journal o political economy, vol 86, 1973, P.637. [4] Clarkson, Robert; Bank, Cherry. "ome Observations on the Black-choles Option Pricing Formula", Dubosky, Davi A. options an inancial utures: valuation an use. 1th e. America: Mc Graw-Hill, 199. [5] Garven, James. "Derivation an Comparative tatic s o the Black-choles Call an Put Option Pricing Formula". athematical science, New York university, anuary 15, 00. [6] Greenspan, A., "Financial Derivatives". Remarks by chairman o eeral reserve bank to Futures inustry association, Floria, march 19, 1999. [7] Hull, juhn, C., Options, Futures, an Other Derivatives. 3th e. Toronto: University o Toronto, 1997. [8] Irwin, Richar D., Option Volatility an Pricing, Avance Traing trategies an Techniques. 1th e. America: Mc Graw-Hill companies, 1994. [9] McMillan, L. Options as a trategic Investment. 4 th e. New York:New York institute o inance, 00. [10] Roman, teven. Introuction to the Mathematics o Finance: rom Risk Management to Options Pricing. 1th e. America: springer, 004. [11] Rubinstein, M. Derivatives Assets Analysis. The journal o economics perspectives, 1987, PP 73-79. ".. [].."." P13 ". [].. [].. : - : : : : : : : :.. : :. :. : :. :. : %. spss question1 question question3 question4 question5. Binomial Test > 3 9.9.. Observe Exact ig. Category N Prop. Test Prop. (1-taile) Group 1 <= 3 0.0.6.000 a Group > 3 Group 1 <= 3..6.01 a Group > 3 8.8 Group 1 <= 3 1.1.6.00 a Group > 3 9.9 Group 1 <= 3..6.01 a Group > 3 8.8 Group 1 <= 3..6.01 a Group > 3 8.8 Group 1 <= 3 1.1.6.00 a question6 Group a. Alternative hypothesis states that the proportion o cases in the irst grou