The Application of Black Scholes Model for Option Pricing from Stock Price of Amazon Inc. (AMZN)

Faudzan Kamil, Muara Lysta Sirait

Abstract


Stocks are easily available on numerous platforms, are frequently utilised in financial markets, and can be a viable choice for organisations seeking to raise capital. Furthermore, investors frequently choose stocks as investments since they have the potential to provide big returns. Black-Scholes Option Pricing Model In this study, we will use technical analysis to forecast the weekly stock price of Amazon Inc. (AMZN) for 3 months from February 5th, 2024 to May 6th, 2024. There were and are attempts to extend the classical Black-Scholes model by introducing the randomness into the coefficients r, μ, σ (interest rate, drift and volatility, respectfully) or to describe them by SDEs, and so on, and then to find explicit or close-form formulas for the hedging strategies and option

prices

Keywords


Black Scholes Model; Stocks; Option; Amazon Inc; Volatility

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References


F. Black and M. Scholes, "The Pricing of Options and Corporate Liabilities," Journal of Political Economy, vol. 81, no. 3, pp. 637-654, 1973.

"Historical Stock Price Data," Yahoo Finance. [Online]. Available: https://finance.yahoo.com/quote/AMZN/profile/

R. C. Merton, "Theory of Rational Option Pricing," The Bell Journal of Economics and Management Science, vol. 4, no. 1, pp. 141-183, 1973.

M. J. Krznaric, "Comparison of option price from Black-Scholes model to actual values," 2016.

H. Siswanto, K. D. Purnomo, and Kusbudiono, "Penentuan Harga Opsi pada Model Black-Scholes Menggunakan Metode Beda Hingga Dufort-Frankel," pp. 333-334, 2014.


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