Comparison of option pricing models of SET50 index between Path Integral and Black-Scholes

Abstract

This study aimed to assess the option contract prices on the SET50 index using the Path Integral method and compare them with market prices and the Black-Scholes model. Daily data from a sample group of options traded on the Thailand Futures Exchange with the same strike price and expiration date in March 2566 were used. The sample group consisted of two sets of options: call options and put options.
The study found that the average squared error of the Path Integral method was higher than that of the Black-Scholes model. Additionally, when examining the graphs, the Path Integral method exhibited more price volatility compared to market prices and the Black-Scholes model. This observation contradicts the initial assumptions.