A Comparison of the Black-Scholes Option Pricing Model and Its Alternatives

A B M Shahadat Hossain, Maliha Tasmiah Noushin, Kamrul Hasan


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 and then compare it with the benchmark Black-Scholes (BS) model. We calculate the Greeks under the CEV model for 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.


European Put Options; Black-Scholes Model; Binomial Model; CEV Model.

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Dhaka University Journal of Science ISSN 1022-2502 (Print) 2408-8528 (Online)