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SUGGESTION A COMPOSED OPTION PRICING MODEL BASED ON
BLACK-SCHOLES AND BINOMIAL TREE MODELS (CASE STUDY IN TEHRAN STOCK EXCHANGE)

A.M. Kimiagari & E. Afarideh Sani

Department of Industrial Eng, kimiagar@aut.ac.ir, ehsan.afarideh@gmail.com

Abstract: This paper suggests a composed option pricing model based on black-scholes and binomial tree models. So at first this two models are presented and analyzed. Then we showed black-scholes model is an appropriate option pricing model for stocks with low volatility and binomial trees model is an appropriate option pricing model for stocks with high volatility. Suggested model is a composed model of black-scholes and binomial tree models and volatility is used as selecting model factor. To determine volatility limit quantity, we calculated average volatility of Iran Stock Exchange. For this calculating we selected 32 stocks in two period of time. At the end of paper, suggested model is validated by 2 methods and it’s validity is approved by both of them.

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