Volume 6, Issue 1, February 2018, Page: 16-27
Pricing Options on Ghanaian Stocks Using Black-Scholes Model
Osei Antwi, Mathematics & Statistics Department, Accra Technical University, Accra, Ghana
Francis Tabi Oduro, Department of Mathematics, Faculty of Physical and Computational Science, College of Science, Kwame Nkrumah University of Science & Technology, Kumasi, Ghana
Received: Sep. 13, 2017;       Accepted: Sep. 30, 2017;       Published: Feb. 1, 2018
DOI: 10.11648/j.sjams.20180601.13      View  1810      Downloads  83
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.
Option Price, Volatility, Stochastic Process, Brownian Motion, Geometric Brownian Motion, Black-Scholes Formula
To cite this article
Osei Antwi, Francis Tabi Oduro, Pricing Options on Ghanaian Stocks Using Black-Scholes Model, Science Journal of Applied Mathematics and Statistics. Vol. 6, No. 1, 2018, pp. 16-27. doi: 10.11648/j.sjams.20180601.13
Copyright © 2018 Authors retain the copyright of this article.
This article is an open access article distributed under the Creative Commons Attribution License (http://creativecommons.org/licenses/by/4.0/) which permits unrestricted use, distribution, and reproduction in any medium, provided the original work is properly cited.
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