Evaluation Of Call Stock Options In The Kuwait Stock Exchange

Bentouir, Naima; Bendob, Ali; Benzemra, Mankour

doi:10.37137/1416-008-001-010

Cited by 1 publication

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“…In this section, we will discuss some past studies which have been investigating on our subject. The study of Bentouir et al (2018) aimed to compare two options pricing models which are the Monte Carlo Simulation method and the Black-Sholes model, using call stock options in Kuwait stock exchange, covering the period of 26/12/2013 to 08/05/2014, with daily data; the main results of this empirical study showed that the Black-Scholes model is outperforming when the volatility is lower; with a positive relationship of prediction the current prices for one year of maturity. Other finding highlighted the validity of Monte Carlo Simulation method to predict the current prices in six and nine months.…”

Section: Literature Reviewmentioning

confidence: 99%

Options Pricing by Monte Carlo Simulation, Binomial Tree and BMS Model: a comparative study of Nifty50 options index

Bendob¹,

Bentouir²

2019

JBFE

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Investment behaviour, techniques and choices have evolved in the options markets since the launch of options trading in 1973. Today, we are entering the field of Big Data and the explosion of information, which has become the main feature of science, impacts investors' decisions and their trading position, particularly in the financial markets. Our paper aims to testing the effectiveness of the most popular options pricing models , which are the Monte Carlo simulation method, the Binomial model, and the benchmark model; the Black-Scholes model, when we ignore/take on account the Moneyness categories and different time to maturities; five months, one year, and two years, in addition to comparing these models, we will then test the effect of each model on the prediction of the current options prices, using the regression analysis, and the Nifty50 option index during the period of 25/07/2014 to 30/06/2016. The result shows that all models are overpriced in all Moneyness categories with a high level of volatility in In-the money category, other finding concludes that the Monte Carlo Simulation method is outperforming when the volatility is lower, while the Black-Sholes model and the Binomial model are outperforming in the entire sample with ignoring the Moneyness.

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Section: Literature Reviewmentioning

confidence: 99%