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The Binomial and Black-Scholes Option Pricing Models: A Pedagogical Review with VBA Implementation

International Journal of Business and Information Technology

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Title The Binomial and Black-Scholes Option Pricing Models: A Pedagogical Review with VBA Implementation
 
Creator Oduro, Francis Tabi; Senior Lecturer, Mathematics Department
 
Description In this paper, a pedagogical review of two option pricing models is presented; specifically, the Binomial and the Black-Scholes pricing models. Theoretically these models converge for a very large number of exercise periods within a single option contract by virtue of the central limit theorem being based on the random walk and the Brownian motion processes respectively. This relationship is graphically illustrated by the use of an MS VBA implementation of the models.
 
Publisher International Journal of Business and Information Technology
 
Contributor —
 
Date 2012-10-15
 
Type —
 
Format application/pdf
 
Identifier http://ojs.excelingtech.co.uk/index.php/IJBIT/article/view/546
 
Source International Journal of Business and Information Technology; Vol 2, No 3 (2012): September
 
Language en
 
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