Author(s)

Zixin Zhao ¹

Affiliation(s)

¹ Hefei No.1 High School, Hefei, Anhui 230000, China

Corresponding Author

Zixin Zhao

ABSTRACT

Option pricing is very important for investors’ option transactions in the financial market. This article introduces the Black-Scholes model and the binary tree model, and the theoretical pricing of a European call option under risk-neutral conditions is solved by the two models. The theoretical pricing is compared with the actual option closing price. The results show that these two models have higher precision and better effect on the theoretical pricing of options.

KEYWORDS

Black-scholes model, Binary tree model, European call options, Pricing

CITE THIS PAPER

Zixin Zhao. Research of Option Pricing Application Based on Black-Scholes and Binary Tree Model. Financial Engineering and Risk Management (2021) 4: 17-20. DOI: http://dx.doi.org/10.23977/ferm.2021.040604.

REFERENCES

[1] Lucy F Ackert. Efficiency in index options markets and trading in stock baskets. Journal of Banking and Finance, no.09, pp.1-4, 2001.

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