Estimating Binomial and Black & Scholes Option Pricing Models: Excel, R Language, and SAS Program Approach

LiJane Kao, John Lee and Cheng Few Lee

Chapter 69 in Handbook of Investment Analysis, Portfolio Management, and Financial Derivatives:In 4 Volumes, 2024, pp 2177-2195 from World Scientific Publishing Co. Pte. Ltd.

Abstract: In this chapter, we show how Excel and R language programming can be used to estimate the European call/put prices based on Black–Scholes model as well as binomial option pricing model. Different underlings are considered, including individual stocks, currency, and stock indices. SAS language programming to estimate the European call/put prices based on binomial option pricing model and Black–Scholes option pricing model are given in the appendices.

Keywords: Financial Accounting; Financial Auditing; Mutual Funds; Hedge Funds; Asset Pricing; Options; Portfolio Analysis; Risk Management; Investment Analysis; Momentum Analysis; Behavior Analysis; Futures; Index Futures; CDCs; Financial Econometrics; Statistics; Financial Derivatives; Financial Accounting (search for similar items in EconPapers)
JEL-codes: G1 G11 G12 G3 M41 M42 (search for similar items in EconPapers)
Date: 2024
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