Determination Option Pricing Contract Gold Commodity using Binomial Tree method



By : I Gede Rendiawan Adi Bratha

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Faculties : Fakultas Matematika dan Ilmu Pengetahuan Alam

Department : S1 Matematika

Holding option contracts have been considered as a new way to invest. In pricing the option contracts, an investor can apply the binomial tree method. The aim of this paper is to present how the European option contracts are calculated using binomial tree method with some different choices of strike prices. Then, the results are compared with the Black-Scholes method. The results obtained show the prices of call options contracts of Europe type calculated by the binomial tree method tends to be cheaper compared with the price of that calculated by the Black-Scholes method. In contrast to the put option prices, the prices calculated by the binomial tree method are slightly more expensive.

Keyword : European Option, Binomial Tree method, Black-Scholes, gold commodity.

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