Evaluation des options financières: revue de littérature et explication intuitive des méthodes de calcul

Evaluation of financial options: literature review and intuitive explanation of the calculus methods

Mohamed Taha Lahrech, Majid Benabdellah, Mohammed Dehhaoui and Fayçal Benchekroun

MPRA Paper from University Library of Munich, Germany

Abstract: This paper provides a qualitative explanation of the more common financial European options pricing models, namely the Black-Scholes formula, Monte Carlo simulation and the binomial model. The first part is a general introduction to the concept and types of financial options. The second part discusses the variables that determine option prices and gives a conceptual view on the Brownian motion process as a mother-assumption of the aforementioned parametric methods. Finally, the article explains the logic of these three methods, in the purpose to share another way of understanding the financial options models from a qualitative perspective.

Keywords: financial options; Brownian motion; Black-Scholes; binomial model; Monte Carlo (search for similar items in EconPapers)
JEL-codes: G32 (search for similar items in EconPapers)
Date: 2018-06-09
References: View references in EconPapers View complete reference list from CitEc
Citations:

Published in Revue Economie Gestion et Société 15 (2018): pp. 1-24

Downloads: (external link)
https://mpra.ub.uni-muenchen.de/95486/1/MPRA_paper_95486.pdf original version (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:pra:mprapa:95486

Access Statistics for this paper

More papers in MPRA Paper from University Library of Munich, Germany Ludwigstraße 33, D-80539 Munich, Germany. Contact information at EDIRC.
Bibliographic data for series maintained by Joachim Winter ().