منابع مشابه
option pricing models
this paper is a translation of a chapter of the hook written by jonathan e. ingersoll jr. the farsi translation will he of great help to iranian students studying option pricing models.
متن کاملComparative Study of Capital Assets Pricing Models (CAPM) with Extrapolating Capital Assets Pricing Models (X-CAPM) in Tehran Exchange Market
The main objective of this article is to present a comparative study of capital assets pricing models (CAPM) with extrapolating capital assets pricing models (X-CAPM) of companies admitted in Tehran Exchange Market which is accomplished for the first time by investigators of this research in Iran. Accordingly, the statistical population under study of this research includes all companies admitt...
متن کاملOption Pricing on Commodity Prices Using Jump Diffusion Models
In this paper, we aim at developing a model for option pricing to reduce the risks associated with Ethiopian commodity prices fluctuations. We used the daily closed Unwashed Lekempti grade 5 (ULK5) coffee and Whitish Wollega Sesame Seed Grade3 (WWSS3) prices obtained from Ethiopia commodity exchange (ECX) market to analyse the prices fluctuations.The natures of log-returns of the prices exhibit a...
متن کاملPRICING STOCKS BY USING FUZZY DIVIDEND DISCOUNT MODELS
Although the classical dividend discount model (DDM) is a wellknown and widely used model in evaluating the intrinsic price of common stock, the practical pattern of dividends, required rate of return or growth rate of dividend do not generally coincide with any of the model’s assumptions. It is just the opportunity to develop a fuzzy logic system that takes these vague parameters into account....
متن کاملStochastic Models for Pricing Weather Derivatives using Constant Risk Premium
‎Pricing weather derivatives is becoming increasingly useful‎, ‎especially in developing economies‎. ‎We describe a statistical model based approach for pricing weather derivatives by modeling and forecasting daily average temperatures data which exhibits long-range dependence‎. ‎We pre-process the temperature data by filtering for seasonality and volatility an...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: The Serials Librarian
سال: 2005
ISSN: 0361-526X,1541-1095
DOI: 10.1300/j123v48n01_19