چکیده مقاله
In recent years, the growing volume of option contract trading has underscored the importance of accurate and reliable valuation of these financial instruments Despite the widespread adoption of the Black Scholes Merton BSM model for pricing options, empirical evidence suggests that this model is subject to pricing errors The present study investigates the influence of three key variables historical volatility, the moneyness status of the underlying asset, and time to maturity on the pricing error of the BSM model Empirical analysis reveals systematic discrepancies between the theoretical prices produced by the BSM model and observed market prices Using panel data regression and the Stata statistical software, the study estimates the effect of the aforementioned variables on model error The results indicate a positive and statistically significant relationship between each variable and the magnitude of the pricing error The dataset consists of options contracts traded between 2020 and 2024 on the Tehran Stock Exchange Additionally, the Root Mean Squared Error RMSE was calculated, showing that the BSM model's estimated prices deviated from actual market prices by approximately 61%, highlighting the need for improved pricing accuracy in emerging markets
کلیدواژهها
نویسندگان
Danial Mohammadi
Ph D Candidate, Department of Financial Engineering, School of Industrial Engineering, Iran University of Science and Technology, Tehran, Iran
Emran Mohammadi
Associate Professor, Department of Financial Engineering, School of Industrial Engineering, Iran University of Science and Technology, Tehran, Iran
Zhina Nanvay Savojbolaghi
PhD student, Department of Finance, Research Sciences Unit, Islamic Azad University, Tehran, Iran
شیوه ارجاع
Mohammadi, Danial and Mohammadi, Emran and Savojbolaghi, Zhina Nanvay,1404,Determinants of Option Pricing Errors: Evidence from Tehran Derivatives Market,11th International Conference on Industrial and System Engineering,Mashhad
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مجموعه مقالات یازدهمین کنفرانس بین المللی مهندسی صنایع و سیستم ها2 مهر 1404 · مشهد