A Comparison of Options Models in Times of Rising Market Volatility

Open Access
Peterson, Dale Robert
Area of Honors:
Bachelor of Science
Document Type:
Thesis Supervisors:
  • Timothy T Simin, Thesis Supervisor
  • Dr. Brian Spangler Davis, Honors Advisor
  • Dr. Joseph Randall Woolridge, Faculty Reader
  • options
  • black-scholes
  • binomial tree
  • monte carlo
  • finance
  • volatility
  • pricing
  • value
This paper compares the effectiveness of the of the Binomial Options Pricing model, Black-Scholes model, and Monte Carlo model in pricing American call options on large-cap non-dividend paying equities. These models are implemented on 32 options contracts that span the relatively volatile fourth quarters of 2011 and 2012. This study did not result in any of the models performing consistently better than the others during these time periods.