We present a succinct new approach to derive the Black-Scholes partial differential equation and subsequently the Black-Scholes formula. We proceed to use the formula to price options using stocks listed on Ghana stock exchange as underlying assets. From one year historical stock prices we obtain volatilities of the listed stocks which are subsequently used to compute prices of three month European call option. The results indicate that it is possible to use the Black Scholes formula to price options on the stocks listed on exchange. However, it was realised that most call option prices tend to zero either due to very low volatilities or very low stock prices. On the other hand put options were found to give positive prices even for stocks with very low volatilities or low stock prices.
| Published in | Science Journal of Applied Mathematics and Statistics (Volume 6, Issue 1) |
| DOI | 10.11648/j.sjams.20180601.13 |
| Page(s) | 16-27 |
| Creative Commons |
This is an Open Access article, distributed under the terms of the Creative Commons Attribution 4.0 International License (http://creativecommons.org/licenses/by/4.0/), which permits unrestricted use, distribution and reproduction in any medium or format, provided the original work is properly cited. |
| Copyright |
Copyright © The Author(s), 2018. Published by Science Publishing Group |
Option Price, Volatility, Stochastic Process, Brownian Motion, Geometric Brownian Motion, Black-Scholes Formula
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APA Style
Osei Antwi, Francis Tabi Oduro. (2018). Pricing Options on Ghanaian Stocks Using Black-Scholes Model. Science Journal of Applied Mathematics and Statistics, 6(1), 16-27. https://doi.org/10.11648/j.sjams.20180601.13
ACS Style
Osei Antwi; Francis Tabi Oduro. Pricing Options on Ghanaian Stocks Using Black-Scholes Model. Sci. J. Appl. Math. Stat. 2018, 6(1), 16-27. doi: 10.11648/j.sjams.20180601.13
AMA Style
Osei Antwi, Francis Tabi Oduro. Pricing Options on Ghanaian Stocks Using Black-Scholes Model. Sci J Appl Math Stat. 2018;6(1):16-27. doi: 10.11648/j.sjams.20180601.13
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Download@article{10.11648/j.sjams.20180601.13,
author = {Osei Antwi and Francis Tabi Oduro},
title = {Pricing Options on Ghanaian Stocks Using Black-Scholes Model},
journal = {Science Journal of Applied Mathematics and Statistics},
volume = {6},
number = {1},
pages = {16-27},
doi = {10.11648/j.sjams.20180601.13},
url = {https://doi.org/10.11648/j.sjams.20180601.13},
eprint = {https://article.sciencepublishinggroup.com/pdf/10.11648.j.sjams.20180601.13},
abstract = {We present a succinct new approach to derive the Black-Scholes partial differential equation and subsequently the Black-Scholes formula. We proceed to use the formula to price options using stocks listed on Ghana stock exchange as underlying assets. From one year historical stock prices we obtain volatilities of the listed stocks which are subsequently used to compute prices of three month European call option. The results indicate that it is possible to use the Black Scholes formula to price options on the stocks listed on exchange. However, it was realised that most call option prices tend to zero either due to very low volatilities or very low stock prices. On the other hand put options were found to give positive prices even for stocks with very low volatilities or low stock prices.},
year = {2018}
}
TY - JOUR T1 - Pricing Options on Ghanaian Stocks Using Black-Scholes Model AU - Osei Antwi AU - Francis Tabi Oduro Y1 - 2018/02/01 PY - 2018 N1 - https://doi.org/10.11648/j.sjams.20180601.13 DO - 10.11648/j.sjams.20180601.13 T2 - Science Journal of Applied Mathematics and Statistics JF - Science Journal of Applied Mathematics and Statistics JO - Science Journal of Applied Mathematics and Statistics SP - 16 EP - 27 PB - Science Publishing Group SN - 2376-9513 UR - https://doi.org/10.11648/j.sjams.20180601.13 AB - We present a succinct new approach to derive the Black-Scholes partial differential equation and subsequently the Black-Scholes formula. We proceed to use the formula to price options using stocks listed on Ghana stock exchange as underlying assets. From one year historical stock prices we obtain volatilities of the listed stocks which are subsequently used to compute prices of three month European call option. The results indicate that it is possible to use the Black Scholes formula to price options on the stocks listed on exchange. However, it was realised that most call option prices tend to zero either due to very low volatilities or very low stock prices. On the other hand put options were found to give positive prices even for stocks with very low volatilities or low stock prices. VL - 6 IS - 1 ER -
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