Proceedings of the 9th International Conference on Financial Innovation and Economic Development (ICFIED 2024)

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Comparison of Option Pricing Based on Black-Scholes and Binomial Tree: Evidence from Moutai’s Share Price

Authors
Jiale Li1, *
1Department of Economic and Management, Beijing Institute of Technology, Beijing, 102400, China
*Corresponding author.
Corresponding Author
Jiale Li
Available Online 7 May 2024.
DOI
10.2991/978-94-6463-408-2_39How to use a DOI?
Keywords
Black-Scholes Model; Binomial Tree Model; Chinese Capital Market; Kweichow Moutai Company
Abstract

As a matter of fact, option pricing is a vital area in mathematical finance, and various academic pricing methods has shed light on specific option types’ pricing, among which Black-Scholes model and Binomial Tree model are the most widely-used measures. However, recent debates have been concentrated on the utility and efficiency of those two measures. Moreover, the newly developed Chinese capital market have been developing its option transaction mechanisms to a more mature level. Based on those two models’ theoretical framework, this study acquired real time data of Moutai from Shanghai Stock Market Exchange (SSE) and use Python code to simulate the option price in the next period based on two different models respectively. According to the analysis, though share price from SSE might not reflect the overall Chinese capital market’s condition, these results would contribute to mend the research gap of empirical application of option pricing models in the Chinese market.

Copyright
© 2024 The Author(s)
Open Access
Open Access This chapter is licensed under the terms of the Creative Commons Attribution-NonCommercial 4.0 International License (http://creativecommons.org/licenses/by-nc/4.0/), which permits any noncommercial use, sharing, adaptation, distribution and reproduction in any medium or format, as long as you give appropriate credit to the original author(s) and the source, provide a link to the Creative Commons license and indicate if changes were made.

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Volume Title
Proceedings of the 9th International Conference on Financial Innovation and Economic Development (ICFIED 2024)
Series
Advances in Economics, Business and Management Research
Publication Date
7 May 2024
ISBN
978-94-6463-408-2
ISSN
2352-5428
DOI
10.2991/978-94-6463-408-2_39How to use a DOI?
Copyright
© 2024 The Author(s)
Open Access
Open Access This chapter is licensed under the terms of the Creative Commons Attribution-NonCommercial 4.0 International License (http://creativecommons.org/licenses/by-nc/4.0/), which permits any noncommercial use, sharing, adaptation, distribution and reproduction in any medium or format, as long as you give appropriate credit to the original author(s) and the source, provide a link to the Creative Commons license and indicate if changes were made.

Cite this article

risenwbib
TY  - CONF
AU  - Jiale Li
PY  - 2024
DA  - 2024/05/07
TI  - Comparison of Option Pricing Based on Black-Scholes and Binomial Tree: Evidence from Moutai’s Share Price
BT  - Proceedings of the 9th International Conference on Financial Innovation and Economic Development (ICFIED 2024)
PB  - Atlantis Press
SP  - 342
EP  - 351
SN  - 2352-5428
UR  - https://doi.org/10.2991/978-94-6463-408-2_39
DO  - 10.2991/978-94-6463-408-2_39
ID  - Li2024
ER  -