A New Option Pricing Model for Stocks in Uncertainty Markets
نویسندگان
چکیده
This paper presents a type of stock models for uncertain markets by using uncertainty theory. Firstly, a brief history of stock models and some methodologies are reviewed. Next, some useful concepts and properties about uncertain process are recalled. Then, a stock model for uncertain markets is formulated by the tool of uncertain differential equation. Some option pricing formulas on the proposed uncertain stock model are investigated and some numerical calculations are illustrated. Finally, some remarks are made in the concluding section. KeywordsUncertainty theory, uncertain process, finance, stock model, option price.
منابع مشابه
A New Stock Model for Option Pricing in Uncertain Environment
The option-pricing problem is always an important part in modern finance. Assuming that the stock diffusion is a constant, some literature has introduced many stock models and given corresponding option pricing formulas within the framework of the uncertainty theory. In this paper, we propose a new stock model with uncertain stock diffusion for uncertain markets. Some option pricing formulas on...
متن کاملImpacts of Premium Bounds on the Operation of Put Option and Day-ahead Electricity Markets
In this paper, the impacts of premium bounds of put option contracts on the operation of put option and day-ahead electricity markets are studied. To this end, first a comprehensive equilibrium model for a joint put option and day-ahead markets is presented. Interaction between put option and day-ahead markets, uncertainty in fuel price, impact of premium bounds, and elasticity of con...
متن کاملHow Does Pricing of Day-ahead Electricity Market Affect Put Option Pricing?
In this paper, impacts of day-ahead market pricing on behavior of producers and consumers in option and day-ahead markets and on option pricing are studied. To this end, two comprehensive equilibrium models for joint put option and day-ahead markets under pay-as-bid and uniform pricing in day-ahead market are presented, respectively. Interaction between put option and day-ahead markets, uncerta...
متن کاملارائه یک روش تلفیقی جهت قیمت گذاری اختیار معامله مبتنی بر دو مدل بلک شولز و درخت دوتایی (مطالعه موردی بازار بورس سهام ایران)
This paper suggests a composed option pricing model based on black-scholes and binomial tree models. So at first this two models are presented and analyzed. Then we showed black-scholes model is an appropriate option pricing model for stocks with low volatility and binomial trees model is an appropriate option pricing model for stocks with high volatility. Suggested model is a composed model of...
متن کاملApplicability of Capital Assets Pricing Model (CAPM) on Pakistan Stock Markets
Capital Assets Pricing Model is used as a tool for the estimation of Investments in Capital Markets with the relation of Expected return and Risk on Securities. This study examines the applicability of CAPM on Pakistan Stock Markets and Karachi Stock Exchange being the main capital market of Pakistan is taken for the study. The analysis is done by taking a sample of 10 performing companies of 1...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
عنوان ژورنال:
دوره شماره
صفحات -
تاریخ انتشار 2010