الحركة البراونية و دورها في تسعير خيارات الشراء الأوروبية باستعمال نموذج بلاك شولز ميرتن : دراسة حالة بورصة باريس

Abstract EN

This study aims to pricing European options type by one of the most preferred models used today the Black-Scholes-Merten model, in addition to clarifying the importance of the Geometric Brownian motion that is among its most important hypotheses, by presenting its mathematical formula and trying to apply it to a sample of Some of the companies listed on the Paris Stock Exchange and Included for the CAC 40 index, as well as analyzing the results to reach them.

This study found that despite the asset price tracing of Geometric Brownian Motion, the Black-Scholes-Merten model is of quality and accuracy in providing the fair value of European purchase options contracts, and the results also showed that the model provides the required coverage ratio for risk management.