APPLYING THE BINOMIAL MODEL IN CASE OF EVALUATING CERTAIN DERIVATIVES

Dan Armeanu () and Carmen Obreja
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Carmen Obreja: Academy of Economic Studies, Bucharest

Theoretical and Applied Economics, 2007, vol. 11(516)(supplement)(vol2), issue 11(516)(supplement)(vol2), 49-54

Abstract: The purpose of this article is to prepare an analysis of the most traded options on the stock and commodities exchange by using the Binomial Model. The main indicators of sensitivity are calculated and interpreted, and it is shown that, on long term the solutions of this model converge to the solution offered by the Black – Merton – Scholes Model. Bringing in the futures and options contracts have determined the transformation of the commodities exchange into a national and regional center where the participants have the possibility to cover their risks or to speculate the modification of the prices by using derivatives.

Keywords: derivatives; options; futures; arbitrage; volatility. (search for similar items in EconPapers)
Date: 2007
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Persistent link: https://EconPapers.repec.org/RePEc:agr:journl:v:11(516)(supplement)(vol2):y:2007:i:11(516)(supplement)(vol2):p:49-54

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