this article investigates fluctuations in stocks prices at tehran stock exchange, assuming that investors' utility stems from fluctuations in value of stocks as well as consumption. thus, the two behavioral phenomena discussed in prospect theory, i. e. loss aversion and house money effect, were factored into consumption-based asset pricing model and investor's utility function, which ...

Assuming that the underlying stock follows Fractional Brownian motion and that stochastic interest rate meets the Vasicek model of interest rates, this paper establishes pricing model of Warrant Bonds and deduces the pricing formula of Warrant Bonds by utilizing risk-neutral valuation theory. Finally, this paper analyzes influence of concerned parameters of pricing model on the value of Warrant...

we use the basic binomial option pricing method but allow someor all the parameters in the model to be uncertain and model this uncertaintyusing fuzzy numbers. we show that with the fuzzy model we can, with areasonably small number of steps, consider almost all possible future stockprices; whereas the crisp model can consider only n + 1 prices after n steps.

There is a compelling need to accurately and efficiently compute option values. Existing literature shows that models based on constant stock volatilities have been widely used in option valuation. However, stock volatilities change constantly in real life situations. The introduction of the Auto Regressive Conditional Heteroskedasticity (ARCH) model and subsequently, the Generalized Auto Regre...

The Black~scholes formula for pricing options on stocks and other securities has been generalized by Merton and Garman to the case when stock volatility is stochastic. The derivation of the price of a security derivative with stochastic volatility is reviewed starting from the first principles of finance. The equation of Merton and Garman is then recast using the path integration technique of t...

The validity of the classic Black-Scholes option pricing formula dcpcnds on the capability of investors to follow a dynamic portfolio strategy in the stock that replicates the payoff structure to the option. The critical assumption required for such a strategy to be feasible, is that the underlying stock return dynamics can be described by a stochastic process with a continuous sample path. In ...

Modern portfolio theory is based on the relationship between risk and return and in this paper, specific uncertainty conditions are introduced as ambiguity which affects the asset pricing. Also, the relationship between risk, ambiguity and return is examined. First, ambiguity is estimated by the means of three-variable and main component method, trading volume, ask-bid spread, error of earnings...

Dear Author Please address all the numbered queries on this page which are clearly identified on the proof for your convenience. Query number Query 1 Please note that the reference Whaley (1981) and (1982) are not cited in the text. 2 Please note that we have retained Tian-Shyr Dai as the corresponding author as per the cats mail. So please check it. 15 Pricing options on a stock that pays disc...

because of specific characteristics of companies in specific industries such asconstruction industry, whose operation cycles are usually more than one fiscal year,there are different methods and policies for revenue recognition. errors inaccounting estimates in specific industries reduce the usefulness of accountinginformation. it makes reported profit in the financial statements vary from actu...