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A Comparative Study of Numerical Methods for Option Pricing under Arithmetic, Geometric, and Hybrid Brownian Motion Models | ||
| Journal of Mathematics and Modeling in Finance | ||
| مقالات آماده انتشار، پذیرفته شده، انتشار آنلاین از تاریخ 08 مرداد 1405 اصل مقاله (526.54 K) | ||
| نوع مقاله: Research Article | ||
| شناسه دیجیتال (DOI): 10.22054/jmmf.2026.90616.1251 | ||
| نویسندگان | ||
| Mohammad Reza Haddadi* ؛ Ahmad Reza Golmohamadi؛ Hossein Nasrollahi؛ Manizheh Goudarzi | ||
| Zagros Financial Research Group, Ayatollah Boroujerdi University, Boroujerd, Iran. | ||
| چکیده | ||
| The aim of this paper is the pricing of European call options using analytical and numerical approaches. To this end, we investigated three main models: the Black-Scholes model, the Bachelier model, and the Geometric and Arithmetic Mixed Brownian Motion model. For the numerical solution of the mixed Brownian Motion model, the Crank-Nicolson method and the Euler discretization method were used. The data used in this research pertains to the stocks of "Shasta" (from April 13, 2020, to May 26, 2024) and "Ahrom" (from December 20, 2021, to May 26, 2024) traded on the Tehran Stock Exchange. We priced the options using real market data and compared the results of all three models with the observed market prices. This comparison determined that the Geometric and Arithmetic Mixed Brownian Motion model provides superior performance in option valuation. | ||
| کلیدواژهها | ||
| Black-Scholes model؛ Batchelor model؛ Crank-Nicholson Method؛ Brownian motion model؛ Options pricing | ||
| مراجع | ||
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