Pricing Options on Stocks with Dividends

Student: Skorokhodov Sergey

Educational Programme: Economics (Bachelor)

Year of Graduation: 2017

This degree paper is devoted to the investigation of option pricing on stock on which dividends are paid. The purpose of this work was the research of influence of various factors on the price of the call and put options using the results of binomial model and Black-Scholes model. In the course of investigation nonarbitrary prices of some options was calculated, on the specific examples the dependence of the price of European and American options on the volatility of stock, dividends paid on stock, the strike price, the expiration date, the risk free rate was analysed. On the base of calculations the comparison of option prices of binomial model and Black-Scholes model was conducted, the convergence rate of results of binomial model when the grid step is decreased was studied.

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