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

Authors

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

Keywords:

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

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 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.

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Issue

Vol. 67 No. 2 (2019)

Section

Articles