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Valuing Options of Indonesia Composite Index: A Comparative Analysis of Binomial and Black-Scholes Models

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Increased volatility raises option values significantly, with prices rising from 27.13% to 31.28%.
Both Binomial and Black-Scholes models provide consistent valuations, affirming their reliability in pricing options.
Market stress considerably influences option pricing strategies, affecting hedging and speculative opportunities.
The analysis of European call and put options demonstrates the critical role of volatility in emerging markets.

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Comparison reveals option pricing dynamics in a volatile market context, suggesting significant impacts of uncertainty on premiums.

Zahrah et al. (2025) studied this question.

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