SET50 INDEX OPTIONS PRICING USING CONVENTIONAL BLACK-SCHOLES AND MONTE CARLO METHOD AND BOOTSTRAP METHOD AND RELATIVE MARKET PRICE

Abstract

This study is to examine the Options Pricing of the 3 method, Black-Scholes Model, Monte Carlo Method, Bootstrapping Method and compare with the market price. By using the samples data that is officially traded every business day in the Thailand Futures Exchange, the expiration dates of September and December 2016 will be available to 4 groups of samples, which include the Call Options and Put Options. Series with expiration dates of September and December 2014. Put Options with expiration dates in December 2016, each group will have a different series with a different price.

The results show that the optimum prices from all 3 methods move in the same direction, in line with the set assumptions. The price of Options from Bootstrapping method is significantly higher than Monte Carlo method and Black-Scholes model. The market value of Options that give the right Call Options would be close to the price of Options on the way. The Black-Scholes Model and the Monte Carlo Method. The market price of the Put Options is close to the Options price derived from the Bootstrapping Method.