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Comparative Analysis of Options Valuation Methods

Author

Listed:
  • Ioana Diana PAUN
  • Maria DIMITRIU

Abstract

This study aims to treat issues regarding the valuation of financial options, the models elaborated for this purpose and to identify the best way to estimate the price of this type of derivatives. The concern is to emphasize the appropriate assessment models, applicable to the Romanian capital market. For this purpose we have used an application developed in Excel that allows the valuation of different types of options. The results obtained using different valuation formulas were compared to the options market price and limitations of the study were analyzed. The opinions presented in the article are solely those of the authors and do not represent any official position of institutions they work for.

Suggested Citation

  • Ioana Diana PAUN & Maria DIMITRIU, 2012. "Comparative Analysis of Options Valuation Methods," The Valuation Journal, The National Association of Authorized Romanian Valuers, vol. 7(2), pages 78-95.
    • Handle: RePEc:vaj:journl:v:7:y:2012:i:2:p:78-95
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    More about this item

    JEL classification:

    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G24 - Financial Economics - - Financial Institutions and Services - - - Investment Banking; Venture Capital; Brokerage

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