Valuation of Call and Put Options for Grupo México: A Comparative Analysis Using Binomial and Black-Scholes-Merton Models

This study conducts various valuations of call and put options on Grupo México stock.Three different strike prices were considered, with the expiration date set on December 15, 2023. The problem addressed aimed to determine the fair price to acquire these options on July 28, with an expiration date of December 15 of the same year. To achieve this, the number of business days between these dates was calculated, totaling 97 business days. Historical closing price data of Grupo México stock from July 28 to 97 business days backward, i.e., from March 13 to July 28, 2023, were obtained for the valuations. Based on these historical data, volatility was calculated, along with parameters p, q, u, and d required for the 30-step binomial model and the Black-Scholes-Merton model. The objective of these valuations is to determine the fair price of the options based on the mathematical models employed. These models enable the evaluation of different scenarios and consider factors such as market volatility and probabilities of changes in the underlying asset’s price.