scholarly journals European Spread Option Pricing with the Floating Interest Rate for Uncertain Financial Market

2020 ◽  
Vol 2020 ◽  
pp. 1-8
Author(s):  
Lidong Zhang ◽  
Yanmei Sun ◽  
Xiangbo Meng
Keyword(s):  
Differential Equation ◽  
Interest Rate ◽  
Financial Market ◽  
Stock Price ◽  
Numerical Algorithms ◽  
Uncertain Differential Equation ◽  
Spread Options ◽  
Put Option ◽  
Pricing Problems ◽  
Spread Option

In this paper, we investigate the pricing problems of European spread options with the floating interest rate. In this model, uncertain differential equation and stochastic differential equation are used to describe the fluctuation of stock price and the floating interest rate, respectively. We derive the pricing formulas for spread options including the European spread call option and the European spread put option. Finally, numerical algorithms are provided to illustrate our results.

Pricing Convertible Bond in Uncertain Financial Market

2021 ◽  
pp. 2150007
Author(s):  
Zhiqiang Zhang ◽  
Zhenfang Wang ◽  
Xiaowei Chen
Keyword(s):  
Differential Equation ◽  
Financial Market ◽  
Stock Price ◽  
Uncertainty Theory ◽  
Convertible Bonds ◽  
Convertible Bond ◽  
Uncertain Differential Equation ◽  
Numerical Examples ◽  
Liu Process ◽  
Uncertain Calculus

This paper is devoted to evaluating the convertible bonds within the framework of uncertainty theory. Under the assumption that the underlying stock price follows an uncertain differential equation driven by Liu process, the price formulas of convertible bonds and the callable convertible bonds are derived by using the method of uncertain calculus. Finally, two numerical examples are discussed.

Empirical study for uncertain finance

2021 ◽  
pp. 1-8
Author(s):  
Han Tang ◽  
Wenfei Li
Keyword(s):  
Differential Equation ◽  
Interest Rate ◽  
Empirical Study ◽  
Method Of Moments ◽  
Stock Price ◽  
Uncertain Differential Equation ◽  
European Options ◽  
Financial Model ◽  
Uncertain Finance

Interest rate, stock and option are all important parts of finance. This paper introduces uncertain differential equation to study the evolution of interest rate and stock price separately. Based on actual observations, we estimate the parameters in uncertain differential equation with the method of moments. Using the introduced interest rate and stock models, we price European options and compare the results pricing with actual observations. Finally, a paradox of the stochastic financial model is stated.

scholarly journals OPSI SAHAM PADA PASAR MODAL DI INDONESIA (STUDI PASAR OPSI SAAT PASAR OPSI MASIH BERLANGSUNG DI BURSA EFEK INDONESIA)

2019 ◽  
Vol 2 (2) ◽  
pp. 300
Author(s):  
Syanti Dewi ◽  
Ishak Ramli
Keyword(s):  
Interest Rate ◽  
Stock Prices ◽  
Stock Price ◽  
Stock Exchange ◽  
Option Price ◽  
Stock Option ◽  
Exchange Market ◽  
Strike Price ◽  
Option Trading ◽  
Put Option

Stock option exchange market is not working anymore in the Indonesian Stock Exchange, using the data option exchange market for the running period 2007-2008, we analyzed the effect of stock price, strike price, time to maturity, volatility and risk- free interest rate on the stock option’s price of listed stock call or put option trading at the Indonesian Stock Exchange during 2007-2008. The results found that the stock price, strike price, time to maturity, volatility and risk-free interest rate are positive significantly affecting the stock option price either the buying option price or the selling option price in Indonesia Stock Exchange 2007-2008 period. While there were no variables that significantly affected the call option during the periode 2007-2008, furthermore stock prices and strike prices significantly affected the put option prices. Time to maturity, Volatility, and risk free interest rate did not significantly affect the put option prices.That is why the stock option exchange market stop since the investor were not sure to the stock option price versus the risk of the volatility, time to maturity, and riskfree rate.

scholarly journals Interest-Rate Products Pricing Problems with Uncertain Jump Processes

2021 ◽  
Vol 2021 ◽  
pp. 1-8
Author(s):  
Yiyao Sun ◽  
Shiqin Liu
Keyword(s):  
Interest Rate ◽  
Interest Rates ◽  
Numerical Experiments ◽  
Uncertain Systems ◽  
Numerical Algorithms ◽  
Jump Processes ◽  
Diffusion Parameter ◽  
Pricing Problems ◽  
Effectiveness And Efficiency ◽  
Complex Forms

Uncertain differential equations (UDEs) with jumps are an essential tool to model the dynamic uncertain systems with dramatic changes. The interest rates, impacted heavily by human uncertainty, are assumed to follow UDEs with jumps in ideal markets. Based on this assumption, two derivatives, namely, interest-rate caps (IRCs) and interest-rate floors (IRFs), are investigated. Some formulas are presented to calculate their prices, which are of too complex forms for calculation in practice. For this reason, numerical algorithms are designed by using the formulas in order to compute the prices of these structured products. Numerical experiments are performed to illustrate the effectiveness and efficiency, which also show the prices of IRCs are strictly increasing with respect to the diffusion parameter while the prices of IRFs are strictly decreasing with respect to the diffusion parameter.

scholarly journals PENGARUH DEBT TO EQUITY RATIO DAN EARNING PER SHARE TERHADAP HARGA SAHAM PADA INDUSTRI MANUFAKTUR KONSUMSI YANG TERDAFTAR DI BEI PERIODE 2006 – 2008

2017 ◽  
Vol 6 (2) ◽  
Author(s):  
Oktafalia Marisa
Keyword(s):  
Interest Rate ◽  
Financial Market ◽  
Stock Price ◽  
Demand And Supply ◽  
Equity Ratio ◽  
The Subject

<p>Every industry in financial market has a same goal, which is an optimum stock price. We’ve known there are a lot of factor effected stock price, such as fundamental structur, demand and supply law, interest rate, devidend and news and rumors. The research objective is to find out the effect od Debt Equity Ratio (DER) and Earning Per Share (EPS) to Stock Price. The subject of this research is the manufactur company in consumption sector listed in Bursa Efek Indonesia (BEI) frim 2006 to 2008. The results of this research are, there is no effect od DER to stock price if EPS constant, but there is effect of DER and EPS to stock price hopefully this research could provided a comprehensif data to develop any research in future.</p><p>Keywords : Debt to equity ratio, EPS, stock price</p>

A STOCK MODEL WITH JUMPS FOR UNCERTAIN MARKETS

2012 ◽  
Vol 20 (03) ◽  
pp. 421-432 ◽  
Author(s):  
XICHANG YU
Keyword(s):  
Differential Equation ◽  
Option Pricing ◽  
Financial Markets ◽  
Renewal Process ◽  
Uncertain Differential Equation ◽  
Canonical Process ◽  
Put Option ◽  
Mathematical Properties ◽  
Stock Model

Uncertain differential equation with jumps is a type of differential equation driven by two classes of uncertain processes, namely canonical process and renewal process. Based on uncertain differential equation with jumps, this paper proposes a stock model with jumps for uncertain financial markets. Furthermore, the European call and put option pricing formulas for the stock model are formulated and some mathematical properties of them are studied. Finally, some generalized uncertain stock models with jumps are discussed.

scholarly journals Pricing Catastrophe Equity Put Options in a Mixed Fractional Brownian Motion Environment

2020 ◽  
Vol 2020 ◽  
pp. 1-15
Author(s):  
Guohe Deng
Keyword(s):  
Brownian Motion ◽  
Interest Rate ◽  
Fractional Brownian Motion ◽  
Long Range ◽  
Stock Price ◽  
Option Price ◽  
Put Options ◽  
Put Option ◽  
Mixed Fractional Brownian Motion ◽  
Short Interest

This paper considers the pricing of the CatEPut option (catastrophe equity put option) in a mixed fractional model in which the stock price is governed by a mixed fractional Brownian motion (mfBM model), which manifests long-range correlation and fluctuations from the financial market. Using the conditional expectation and the change of measure technique, we obtain an analytical pricing formula for the CatEPut option when the short interest rate is a deterministic and time-dependent function. Furthermore, we also derive analytical pricing formulas for the catastrophe put option and the influence of the Hurst index when the short interest rate follows an extended Vasicek model governed by another mixed fractional Brownian motion so that the environment captures the long-range dependence of the short interest rate. Based on the numerical experiments, we analyze quantitatively the impacts of different parameters from the mfBM model on the option price and hedging parameters. Numerical results show that the mfBM model is more close to the realistic market environment, and the CatEPut option price is evaluated accurately.

scholarly journals An Analytic Solution for a Vasicek Interest Rate Convertible Bond Model

2010 ◽  
Vol 2010 ◽  
pp. 1-5 ◽  
Author(s):  
A. S. Deakin ◽  
Matt Davison
Keyword(s):  
Differential Equation ◽  
Interest Rate ◽  
Stock Price ◽  
Analytic Solution ◽  
Integral Transforms ◽  
Convertible Bond ◽  
Motion Model ◽  
Bond Model ◽  
Brownian Motion Model ◽  
The Interest Rate

This paper provides the analytic solution to the partial differential equation for the value of a convertible bond. The equation assumes a Vasicek model for the interest rate and a geometric Brownian motion model for the stock price. The solution is obtained using integral transforms.

ON MULTI-ASSET SPREAD OPTION PRICING IN A WICK–ITÔ–SKOROHOD INTEGRAL FRAMEWORK

2017 ◽  
Vol 58 (3-4) ◽  
pp. 386-396
Author(s):  
XIANGXING TAO ◽  
YAFENG SHI
Keyword(s):  
Option Pricing ◽  
Skorohod Integral ◽  
Strike Price ◽  
The Real ◽  
Spread Options ◽  
Elementary Method ◽  
Black Scholes ◽  
Pricing Problems ◽  
Spread Option ◽  
Real Market

We provide an elementary method for exploring pricing problems of one spread options within a fractional Wick–Itô–Skorohod integral framework. Its underlying assets come from two different interactive markets that are modelled by two mixed fractional Black–Scholes models with Hurst parameters, $H_{1}\neq H_{2}$, where $1/2\leq H_{i}<1$ for $i=1,2$. Pricing formulae of these options with respect to strike price $K=0$ or $K\neq 0$ are given, and their application to the real market is examined.

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