OICC Press Agricultural Marketing and Commercialization 2676-7570 10 1 2026 06 30 Providing an Adaptive Model for Pricing Option Contracts in Iran's Capital Market 10.57647/amc.2026.100110 EN Mehrdad Miri Jalal Seifoddini Department of Financial Engineering, Isl.C. Islamic Azad University, Islamshahr, Iran Reza Nemati Koshteli Department of Accounting, Isl.C. Islamic Azad University, Islamshahr, Iran Abdollah Rajabi Khanghah Department of Financial Engineering, Isl.C. Islamic Azad University, Islamshahr, Iran Nader Naghshineh Department of Financial Engineering, Isl.C. Islamic Azad University, Islamshahr, Iran Journal Article 2026 06 30 This research aims to provide an adaptive framework for pricing option contracts in Iran’s capital market by comparing several widely recognised option pricing models, including the Black–Scholes, Heston, Bi-Heston, Binomial Tree, and Trinomial Tree models. These models were selected because they represent the most frequently applied frameworks in both developed and emerging markets, with the Heston and Bi-Heston models incorporating stochastic volatility features that make them suitable for economies experiencing inflation and market instability, such as Iran. The need for this comparative analysis stems from the increasing volume of option trading and the inadequacy of the currently used Black–Scholes model in reflecting Iran’s economic and inflationary conditions. The proposed adaptive approach, presented in the Methodology section, tests these models on data from the Tehran Stock Exchange (2018–2023) and evaluates their performance using RMSE and MAPE error metrics to identify the model that produces the most accurate price estimates. Data related to selected call option symbols (Shesta, Khodro, Khsapa, and Ahrom), filtered based on the highest trading volume and value, were analyzed using Python software and its NumPy and Pandas libraries. Based on the results obtained from the data analysis of the selected symbols, the Trinomial Tree model and the Badestein model showed significantly less error compared to the Black-Scholes model in estimating the market price of option contracts. The research findings indicate the significant superiority of the Trinomial Tree and Badestein models over the commonly used Black-Scholes model in Iran's capital market. Employing these more accurate models can lead to more efficient pricing of option contracts and reduce the gap between theoretical value and market price.