scholarly journals Fractional Black-Scholes Model and Technical Analysis of Stock Price

2013 ◽  
Vol 2013 ◽  
pp. 1-7 ◽  
Author(s):  
Song Xu ◽  
Yujiao Yang
Keyword(s):  
Stock Returns ◽  
Stock Prices ◽  
Stock Price ◽  
Technical Analysis ◽  
Stochastic Volatility Model ◽  
Black Scholes Model ◽  
Dependent Process ◽  
Large Numbers ◽  
Volatility Model ◽  
Black Scholes

In the stock market, some popular technical analysis indicators (e.g., Bollinger bands, RSI, ROC, etc.) are widely used to forecast the direction of prices. The validity is shown by observed relative frequency of certain statistics, using the daily (hourly, weekly, etc.) stock prices as samples. However, those samples are not independent. In earlier research, the stationary property and the law of large numbers related to those observations under Black-Scholes stock price model and stochastic volatility model have been discussed. Since the fitness of both Black-Scholes model and short-range dependent process has been questioned, we extend the above results to fractional Black-Scholes model with Hurst parameterH>1/2, under which the stock returns follow a kind of long-range dependent process. We also obtain the rate of convergence.

scholarly journals A Comparative Analysis of the Black-Scholes- Merton Model and the Heston Stochastic Volatility Model

2019 ◽  
Vol 39 ◽  
pp. 127-140
Author(s):  
Tahmid Tamrin Suki ◽  
ABM Shahadat Hossain
Keyword(s):  
Comparative Analysis ◽  
Stochastic Volatility ◽  
Stock Prices ◽  
Computer Algebra System ◽  
Stochastic Volatility Model ◽  
Affecting Factors ◽  
Pricing Models ◽  
Merton Model ◽  
Volatility Model ◽  
Black Scholes

This paper compares the performance of two different option pricing models, namely, the Black-Scholes-Merton (B-S-M) model and the Heston Stochastic Volatility (H-S-V) model. It is known that the most popular B-S-M Model makes the assumption that volatility of an asset is constant while the H-S-V model considers it to be random. We examine the behavior of both B-S-M and H-S-V formulae with the change of different affecting factors by graphical representations and hence assimilate them. We also compare the behavior of some of the Greeks computed by both of these models with changing stock prices and hence constitute 3D plots of these Greeks. All the numerical computations and graphical illustrations are generated by a powerful Computer Algebra System (CAS), MATLAB. GANIT J. Bangladesh Math. Soc.Vol. 39 (2019) 127-140

scholarly journals Pricing Various Types of Power Options under Stochastic Volatility

Symmetry ◽  
2020 ◽  
Vol 12 (11) ◽  
pp. 1911
Author(s):  
Youngrok Lee ◽  
Yehun Kim ◽  
Jaesung Lee
Keyword(s):  
Financial Markets ◽  
Stochastic Volatility ◽  
Asset Price ◽  
Stochastic Volatility Model ◽  
Exotic Options ◽  
Option Prices ◽  
Black Scholes Model ◽  
Volatility Model ◽  
Black Scholes ◽  
Pricing Power

The exotic options with curved nonlinear payoffs have been traded in financial markets, which offer great flexibility to participants in the market. Among them, power options with the payoff depending on a certain power of the underlying asset price are widely used in markets in order to provide high leverage strategy. In pricing power options, the classical Black–Scholes model which assumes a constant volatility is simple and easy to handle, but it has a limit in reflecting movements of real financial markets. As the alternatives of constant volatility, we focus on the stochastic volatility, finding more exact prices for power options. In this paper, we use the stochastic volatility model introduced by Schöbel and Zhu to drive the closed-form expressions for the prices of various power options including soft strike options. We also show the sensitivity of power option prices under changes in the values of each parameter by calculating the resulting values obtained from the formulas.

RISK MANAGEMENT UNDER A FACTOR STOCHASTIC VOLATILITY MODEL

2011 ◽  
Vol 28 (01) ◽  
pp. 65-80 ◽  
Author(s):  
MARCOS ESCOBAR ◽  
PABLO OLIVARES
Keyword(s):  
Risk Management ◽  
Stochastic Volatility ◽  
Value At Risk ◽  
Factor Model ◽  
Risk Measures ◽  
Stochastic Volatility Model ◽  
Dependence Structure ◽  
Black Scholes Model ◽  
Volatility Model ◽  
Black Scholes

In this paper, we study risk measures and portfolio problems based on a Stochastic Volatility Factor Model (SVFM). We analyze the sensitivity of Value at Risk (VaR) and Expected Shortfall (ES) to the changes in the parameters of the model. We compare the positions of a linear portfolio under assets following a SVFM, a Black–Scholes Model and a model with constant dependence structure. We consider an application to a portfolio of three selected Asian funds.

Volatility cones and volatility arbitrage strategies – empirical study based on SSE ETF option

2017 ◽  
Vol 7 (2) ◽  
pp. 203-227 ◽  
Author(s):  
Hong Yu Xin Pan ◽  
Jun Song
Keyword(s):  
Transaction Costs ◽  
Stochastic Volatility Model ◽  
Chinese Market ◽  
Content Type ◽  
Black Scholes Model ◽  
Volatility Model ◽  
Black Scholes ◽  
Arbitrage Strategy ◽  
Real Market ◽  
First Time

Purpose Using volatility cones as the estimate of actual volatility instead of GARCH models, the purpose of this paper is to explore whether volatility arbitrage strategy can provide positive profits and how the transaction costs existed in the real market affect the effectiveness of volatility arbitrage strategy. Design/methodology/approach A number of hedging approaches proposed to improve the hedging results and final returns of Black-Scholes model are analyzed and compared. Findings The general finding is that volatility arbitrage strategy can provide satisfactory returns based on the samples in Chinese market. Regarding transaction costs, the variable bandwidth delta and delta tolerance approach showed better results. Besides, choosing futures together with ETFs as hedging underlying can increase the VaR for better risk management. Practical implications This paper offers a new method for volatility arbitrage in Chinese financial market. Originality/value This paper researches the profitability of the volatility arbitrage strategy on ETF 50 options using volatility cones method for the first time. This method has advantage over the point-wise estimation such as GARCH model and stochastic volatility model.

scholarly journals PENGARUH PEMBAGIAN DIVIDEN MELALUI MODEL BLACK-SCHOLES

2021 ◽  
Vol 2 (3) ◽  
pp. 351-354
Author(s):  
Diana Purwandari
Keyword(s):  
Stock Prices ◽  
Stock Price ◽  
European Options ◽  
Financial Contracts ◽  
Stock Trading ◽  
Black Scholes Model ◽  
Black Scholes ◽  
Dividend Distribution ◽  
Option Pricing Model ◽  
The Right

Stock trading has a risk that can be said to be quite large due to fluctuations in stock prices. In stock trading, one alternative to reduce the amount of risk is options. The focus of this research is on European options which are financial contracts by giving the holder the right, not the obligation, to sell or buy the principal asset from the writer when it expires at a predetermined price. The Black-Scholes model is an option pricing model commonly used in the financial sector. This study aims to determine the effect of dividend distribution through the Black-Scholes model on stock prices. The effect of dividend distribution through the Black-Scholes model on stock prices results in the stock price immediately after the dividend distribution being lower than the stock price shortly before the dividend distribution

Perbandingan harga saham, volume transaksi dan return saham sebelum dan sesudah terjadi pandemi covid-19 pada PT Agung Podomoro Land, Tbk

2021 ◽  
Vol 5 (4) ◽  
pp. 720
Author(s):  
Anggun Putri Romadhina ◽  
Eka Kusuma Dewi
Keyword(s):  
Stock Returns ◽  
Stock Prices ◽  
Stock Price ◽  
Research Data ◽  
Paired Sample ◽  
First Case ◽  
Significant Difference ◽  
Before And After ◽  
Stock Transaction

The first Covid-19 case in Indonesia was announced on March 2, 2020. This study aims to determine whether there is a significant difference in stock prices, stock transaction volume and stock returns due to the COVID-19 pandemic (case study at PT. Agung Podomoro Land, Tbk). This research data was taken 90 days before and 90 days after the announcement of the first case of COVID-19 in Indonesia. The data was processed by paired sample t-test, using SPSS version 20. From the results of data processing, it was shown that there was a significant difference in stock prices before and after the announcement of the first case of covid-19 in Indonesia. This is indicated by a significance value of 0.000 < 0.05 where the stock price has decreased compared to before the Covid-19 case. Meanwhile, the volume of stock transactions also showed a significant difference with a significance value of 0.007 <0.05, where the volume of stock transactions after the announcement showed a decrease. Likewise, stock returns show a significant difference with a significance value of 0.025 < 0.05 where stock returns have decreased after the announcement of the first case of covid-10 in Indonesia.  

scholarly journals FACTORS AFFECTING OPERATING CASH FLOW TO STOCK RETURN THROUGH STOCK PRICE

2018 ◽  
Vol 5 (2) ◽  
Author(s):  
Aprih . Santoso
Keyword(s):  
Stock Returns ◽  
Cash Flow ◽  
Stock Prices ◽  
Stock Price ◽  
Stock Return ◽  
Stock Exchange ◽  
Sampling Technique ◽  
Financial Statements ◽  
Manufacturing Companies ◽  
Operating Cash Flow

Abstract : Companies need funds in order to carry out operations such as the financing of production activities, pay employees, pay other expenses related to the operation of the company. One way to obtain these funds is to attract investors to invest in companies in the form of stock, but in making this investment is certainly not easy for investors, because investors need consideration beforehand to find out how the company's performance. The purpose of this study was to examine and analyze the effect of operating cash flow to stock return through stock price at companies listed on the Stock Exchange Year 2012-2015. The data used in this study dala are secondary data from the financial statements of companies listed on the Indonesia Stock Exchange period 2012 - 2015. The data are in the form of financial statements can be obtained from the Indonesian Capital Market Directory (ICMD), the IDX website www.idx.co. id as well as from various other sources to support this research. The population in this research is manufacturing companies listed on the Stock Exchange the period 2012 - 2015. The samples taken by the sampling technique used purposive sampling.From the test results and analysis of the data it can be concluded that operating cash flow directly and indirectly has no effect on stock returns through stock prices showed no significant results. Keywords :  Operating Cash Flow, Stock Price, Stocks Return

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