Pricing The Gold Coin Options of Iran Mercantile Exchange Market:"Black Scholes" and "Put-Call Parity"ApproachesPricing The Gold Coin Options of Iran Mercantile Exchange Market:"Black Scholes" and "Put-Call Parity"Approaches
The purpose of this paper is to price the gold coin options contracts in the Iranʻs Exchange Market. For this purpose, the "Black Scholes" model has been used as well as the "Put-Call Parity" method. GARCH model and Statistical method have been used for the "Black Scholes" model. The data for six Gold Coin options in the Iran mercantile exchange has been obtained for period of 16/12/1395 to 1/4/1396. The results show that both the "Black Scholes" and the "put-call parity" suggest investors buy call options.
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