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Comparative Analysis of Options Valuation Methods

Ioana Diana Paun and Maria Dimitriu

The Valuation Journal, 2012, vol. 7, issue 2, 78-95

Abstract: This study aims to treat issues regarding the valuation of financial options, the models elaborated for this purpose and to identify the best way to estimate the price of this type of derivatives. The concern is to emphasize the appropriate assessment models, applicable to the Romanian capital market. For this purpose we have used an application developed in Excel that allows the valuation of different types of options. The results obtained using different valuation formulas were compared to the options market price and limitations of the study were analyzed. The opinions presented in the article are solely those of the authors and do not represent any official position of institutions they work for.

JEL-codes: G11 G24 (search for similar items in EconPapers)
Date: 2012
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Persistent link: https://EconPapers.repec.org/RePEc:vaj:journl:v:7:y:2012:i:2:p:78-95

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