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Convergence of Three Binomial Models into Black Scholes Model in Establishing Option Prices in Hongkong, India, and Indonesia Ikin Solihin; Sugiarto Sugiarto; Gracia Shinta S. Ugut; Edison Hulu
Budapest International Research and Critics Institute (BIRCI-Journal): Humanities and Social Sciences Vol 4, No 3 (2021): Budapest International Research and Critics Institute August
Publisher : Budapest International Research and Critics University

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.33258/birci.v4i3.2426

Abstract

The establishment of option prices is one of the crucial aspects in derivative trade. Black-Scholes model (BSM) is one of the most popular models of option price establishment. The option exchanges such as CBOE, HKEX, and NSE use this model to determine the price options. Black-Scholes Model is modelled with stock price movement as a stochastic process. Another popular model is binomial model (BSM), originated from stock exchange movement model which divides interval time [0, T] into n equal length step. It holds several models to determine the value of up-move, down-move, and probability. Binomial model is categorised as Cox-Ross-Rubinstein, Jarrow-Rudd, and Leisen-Reimer. There are numerous literatures which discuss the relation between BM and BSM, including the convergence of binomial model and BSM. The former’s model which is often put side-by-side with BSM is Cox-Ross-Rubinstein. Even though this model is quite simple, it requires a lot, even thousands of steps to render Cox-Ross-Rubinstein to converge with BSM. It certainly takes a lot of time to calculate. Therefore, in this study, with limited steps, Jarrow-Rudd and Leisen-Reimer models are compared to BSM with the Cox-Ross-Rubinstein model. It aims to check on which binomial model is more convergent to BSM with limited steps in the same period. The data collected were secondary data from finance.yahoo.com. Judgemental sampling was used for technique sampling and several shares, with large market capitalization in Hongkong, India, and Indonesia are chosen. By calculating the MAFE error value from option price of BSM and BM, it is discovered that Leisen-Reimer with 101 steps is more convergent to BSM. 
Co-Authors Abdul Basit Abiyajid Bustami Abul Ainin Hapis achmad sidiq syafi'i Adel Fiki Finanda Adeline Adeline adrian kurniawan Agung Pamungkas Agung Tyas Subekti Agus Sugianto Akmal Hidayat Amalia Restu Damayanti Anggit Pratiwi Anggrika Riyanti Anggun Nuraini Anisa Dwi Kartika Annida Fitria Ma'ruf Anton Yustiano Ari Probandari Arina Asrofulmawa Atiek Sri Purwati August Munar Augustinus Setiawan Bambang Agus Pramuka Bambang Karnaen P Bambang Purwanto Budiyanti Wiboworini Cici Wuni Cindy Amalia Rahmadan Cut Mutiawati Denny Widhiyanuriyawan Dian Nitami Quraisyin Diffah Hanim Dinda Nurul Sari Dita Wrisnijati Dona Primasari Dwi Atmoko Dwi Susilo Edison Sembiring Edy Victor Haryanto Sianturi Eka Prayitno Eko Wardoyo Elda Santika Elen Dwika Famela Elfira Maharani Elia Azizah Eni Endaryati Entianopa, Entianopa Erislan Erislan Erna Agustin Sukmandari Evelyne Septadilla Feri Nurjaya fita fatma pratama Fitri Rachmadhany Fitri Riyanti Fitriani Fitriani Fongnawati Budhijono Fongnawati Budhijono Gayus Sadarman Tafonao Gracia S Ugut Gustiana Mega Anggita H. H. Subakir Hanifudin Aminullah   Haqiqi, Faisal Harjono Harjono Heru Sunandar Hulu, Edison I Gede Wiwin Suyasa Iga Putri Wulandari Ikin Solihin Ilham Ilham Indriasari, Ika Intan Avlira Intan Herlina Irdha Yunianto Irene Indri Dewi Astuti Irshad Irtiza Husain Islah Islah Istirochah Pujiwati jek managerxot Jesica Saputri Julia Ulfa M Juwita Anggraini Khalista Febiyanti Kindi Muradi Lestari Maulana Lira Budi Utami Lukman Hakim Lukman Hakim Lukman Hakim Lutfi Afifah Mahayu Woro Lestari Mangku Purnomo Masidah Masidah Matin Matin Melani Indah Saputri Melda Yenni Meli Nurhidayah Melissa Melissa Mohammad Arif Ali, Mohammad Arif Mohammad Fadli Mohammad Sholeh Muhammad Erwin Ashari Haryono Muhammad Isya Muhammad Muhammad Muhammad Wildan Fardian Niken Fitria Maya Nirmala Putri Maharani Setiakusuma Novi Arafita Noviana Safitri Novianty Novianty Nur Aini Haqiqi Nur Siska Nurafni Eltivia Nurhidayati Nurhidayati Nurul Adhilah Busmah oktavia maulani Panji Riyadi Peppy Herawati Poppy Dian I.K Purnama, Rizki Purnomo Purnomo Purwanto Purwanto Putri Sahara Harahap Rahma Anindita Rahmi Nabilah Ramadhan Ramadhan Ratna Oktavia Ningrum Ray Octafian Rendra Orienta Renni Angraini Rezzy Eko Caraka Rianti, Winda Rika Rosnelly Rika Yayu Agustini Rilista Putri Amalia Rina Dewi Risda Sari Riska Novita ronald indra wahyudhi Rosmalia Rosmalia Royan Siagian Runi Asmaranto Sahri Sahri saniman saniman Sapta Eka Yanto Seli Oktaviana Setiono Setiono Sintia Shinta Dewi Siska Anggraeni Larasati Siti Aisyah Siti Asmaniyah Siti Asmaniyah Mardiyani Siti Baitul Mukarromah SITI MUSLIKAH Siti Rochanah Siti Rochanah   Sofyan M. Saleh Sony Heru Priyatno Suci Choirunisa Sudiyanto Sudiyanto Susi Soviana Sutrisno Sutrisno Suwito Suwito Swadia Gandhi Mahardika Taman Ginting, Taman Tantoro Harmono Tatang Surjana Taufik Nurhidayat TAUFIQ HIDAYAT Tejo Nugroho Tonny Hendratono Tri Suyud Tri Yuli Pramana Triyono Rakhmadi Upik Kesumawati Hadi Vike Mutiara Sani viki widiantoro Vina Raraswati Vivi Kumalasari Warigit Dri Atmoko Wisudanto Wisudanto Yudhi Andrian Yulanda Ansela Yulia Reviana Yuni Dame Ria Sinurat Yusfrini Desilva Asri Yusria Darma Yusuf Fuadi Zainal Arifin Hosein