{"title":"Black-Scholes期权定价模型及其替代方案的比较","authors":"A. Hossain, Maliha Tasmiah Noushin, Kamrul Hasan","doi":"10.3329/dujs.v67i2.54581","DOIUrl":null,"url":null,"abstract":"In this paper we estimate European put option price by using awell-established option pricing model, namely, the Constant Elasticity of Variance (CEV) model for the elasticity parameter β< 2 and then compare it with the benchmark Black-Scholes (BS) model. We calculate the Greeks under the CEV model for β=0,1 and 1.95 and compare them with that of the B-S one. Finally, we investigate the put price and Greeks values for at-the-money (ATM), in-the-money (ITM) and out-of-the-money (OTM) situations. \nDhaka Univ. J. Sci. 67(2): 105-110, 2019 (July)","PeriodicalId":11280,"journal":{"name":"Dhaka University Journal of Science","volume":"5 1","pages":""},"PeriodicalIF":0.0000,"publicationDate":"2019-07-30","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":"{\"title\":\"A Comparison of the Black-Scholes Option Pricing Model and Its Alternatives\",\"authors\":\"A. Hossain, Maliha Tasmiah Noushin, Kamrul Hasan\",\"doi\":\"10.3329/dujs.v67i2.54581\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"In this paper we estimate European put option price by using awell-established option pricing model, namely, the Constant Elasticity of Variance (CEV) model for the elasticity parameter β< 2 and then compare it with the benchmark Black-Scholes (BS) model. We calculate the Greeks under the CEV model for β=0,1 and 1.95 and compare them with that of the B-S one. Finally, we investigate the put price and Greeks values for at-the-money (ATM), in-the-money (ITM) and out-of-the-money (OTM) situations. \\nDhaka Univ. J. Sci. 67(2): 105-110, 2019 (July)\",\"PeriodicalId\":11280,\"journal\":{\"name\":\"Dhaka University Journal of Science\",\"volume\":\"5 1\",\"pages\":\"\"},\"PeriodicalIF\":0.0000,\"publicationDate\":\"2019-07-30\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"\",\"citationCount\":\"0\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"Dhaka University Journal of Science\",\"FirstCategoryId\":\"1085\",\"ListUrlMain\":\"https://doi.org/10.3329/dujs.v67i2.54581\",\"RegionNum\":0,\"RegionCategory\":null,\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"\",\"JCRName\":\"\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"Dhaka University Journal of Science","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.3329/dujs.v67i2.54581","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"","JCRName":"","Score":null,"Total":0}
A Comparison of the Black-Scholes Option Pricing Model and Its Alternatives
In this paper we estimate European put option price by using awell-established option pricing model, namely, the Constant Elasticity of Variance (CEV) model for the elasticity parameter β< 2 and then compare it with the benchmark Black-Scholes (BS) model. We calculate the Greeks under the CEV model for β=0,1 and 1.95 and compare them with that of the B-S one. Finally, we investigate the put price and Greeks values for at-the-money (ATM), in-the-money (ITM) and out-of-the-money (OTM) situations.
Dhaka Univ. J. Sci. 67(2): 105-110, 2019 (July)
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