scholarly journals Risk-Neutral Pricing Method of Options Based on Uncertainty Theory

Symmetry ◽  
2021 ◽  
Vol 13 (12) ◽  
pp. 2285
Author(s):  
Hong Huang ◽  
Yufu Ning
Keyword(s):  
Stock Price ◽  
Uncertainty Theory ◽  
Independent Increment ◽  
Special Kind ◽  
Uncertain Process ◽  
Put Options ◽  
Liu Process ◽  
Stationary Independent Increment ◽  
Risk Neutral ◽  
Relationship Of

In order to rationally deal with the belief degree, Liu proposed uncertainty theory and refined into a branch of mathematics based on normality, self-duality, sub-additivity and product axioms. Subsequently, Liu defined the uncertainty process to describe the evolution of uncertainty phenomena over time. This paper proposes a risk-neutral option pricing method under the assumption that the stock price is driven by Liu process, which is a special kind of uncertain process with a stationary independent increment. Based on uncertainty theory, the stock price’s distribution and inverse distribution function under the risk-neutral measure are first derived. Then these two proposed functions are applied to price the European and American options, and verify the parity relationship of European call and put options.

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.

scholarly journals Some Theorems for Inverse Uncertainty Distribution of Uncertain Processes

Symmetry ◽  
2021 ◽  
Vol 14 (1) ◽  
pp. 14
Author(s):  
Xiumei Chen ◽  
Yufu Ning ◽  
Lihui Wang ◽  
Shuai Wang ◽  
Hong Huang
Keyword(s):  
Uncertainty Theory ◽  
Independent Increment ◽  
Monotone Function ◽  
Real Life ◽  
Uncertain Process ◽  
Uncertainty Distribution ◽  
Process With Independent Increments ◽  
Independent Increments ◽  
Independent Increment Process

In real life, indeterminacy and determinacy are symmetric, while indeterminacy is absolute. We are devoted to studying indeterminacy through uncertainty theory. Within the framework of uncertainty theory, uncertain processes are used to model the evolution of uncertain phenomena. The uncertainty distribution and inverse uncertainty distribution of uncertain processes are important tools to describe uncertain processes. An independent increment process is a special uncertain process with independent increments. An important conjecture about inverse uncertainty distribution of an independent increment process has not been solved yet. In this paper, the conjecture is proven, and therefore, a theorem is obtained. Based on this theorem, some other theorems for inverse uncertainty distribution of the monotone function of independent increment processes are investigated. Meanwhile, some examples are given to illustrate the results.

scholarly journals Pengaruh Profitabilitas Terhadap Nilai Perusahaan dengan Pengungkapan CSR sebagai variabel Moderasi (Perusahaan yang tergabung di JII dan Indeks SRI-KEHATI periode 2016-2018)

2020 ◽  
Vol 6 (11) ◽  
pp. 2331
Author(s):  
Niswatin Chasanah ◽  
Sylva Alif Rusmita
Keyword(s):  
Stock Prices ◽  
Stock Price ◽  
Stock Exchange ◽  
Test Sample ◽  
Independent Variables ◽  
Index Stock ◽  
Csr Disclosure ◽  
Corporate Social ◽  
Relationship Of ◽  
The Relationship

This study aims to determine and analyze the effect of profitability (ROA) on stock prices with corporate social responsibility (CSR) as a variable that moderates the two variables. The object of this research is companies incorporated in JII and SRI-KEHATI indexes that meet the test sample criteria during the period 2016 - 2018. This study uses a quantitative approach. Analysis of the data in this study used a moderation regression analysis (MRA). This study uses 20 samples for the JII index and 21 for the SRI-KEHATI index. Data obtained from the company's financial statements incorporated in JII and the SRI-KEHATI index for the period of 2016 - 2018 on the Indonesia Stock Exchange (IDX) website. The results showed that Return On Assets (ROA) had a significant effect on JII stock prices and SRI-KEHATI index stock prices. Furthermore, with CSR as a moderating variable showing the results of research with JII that is partially CSR disclosure shows a significant value which means CSR disclosure is able to moderate the relationship of ROA with JII stock prices. Overall (simultaneous) independent variables (ROA, CSR, ROA * CSR) significantly influence the stock price of JII. Furthermore, the results of research with the SRI-KEHATI index partially disclose CSR as a moderating variable showing a significant value. This means that CSR disclosure is not able to moderate the relationship of ROA with JII stock prices. while overall (simultaneous) independent variables (ROA, CSR, ROA * CSR) affect the stock price of the SRI-KEHATI index.Keywords: Profitability,StockPrice,ROA,CSR

Corporate Governance and Firm Performance

2015 ◽  
pp. 257-274
Author(s):  
Devanjali Nandi ◽  
Arindam Das
Keyword(s):  
Corporate Governance ◽  
Ownership Structure ◽  
Stock Price ◽  
Panel Data Analysis ◽  
Negative Relationship ◽  
Crisis Period ◽  
Price Performance ◽  
Time Period ◽  
Relationship Of ◽  
The Relationship

Ownership structure is considered to be of prime importance in corporate governance of a firm. The ownership structure significantly varies across the nations. The main focus of this chapter is twofold: firstly to see the impact of ownership structure on performance of the firm and secondly to investigate the relationship between stock market performance and ownership structure during the crisis period. Panel data analysis of CNX 200 companies has been done for the time period of 2006-2013.The study also takes into account the relationship between crisis period stock return and ownership structure. The results of this study reveal a positive relationship of promoter's shareholding with performance while a negative relationship of performance is found with the non-promoters shareholding. The regression of stock price performance on ownership variable gives a significant negative relationship during the crisis period.

Study on Theoretical Elasticity and Plasticity Model of the Stock Price Based on Material Distortion Theory

2011 ◽  
Vol 138-139 ◽  
pp. 1274-1279
Author(s):  
Su Zhang ◽  
Zuo Quan Zhang ◽  
Xuan Wu ◽  
Xiao Yue Li ◽  
Rong Zhu
Keyword(s):  
Stock Price ◽  
Trading Volume ◽  
Share Price ◽  
Model Parameters ◽  
Plasticity Model ◽  
Scientific Result ◽  
Volume Relationship ◽  
New Ideas ◽  
Relationship Of ◽  
The Relationship

According to the price volume relationship of the stock, with the help of the elasticity and plasticity theory in the physics, some new ideas like stock equilibrium price, share price elasticity, and share price plasticity are put forward. Then elasticity and plasticity model of the stock price are built on account of the relationship between share price and trading volume, and model parameters are tested by a kind of software calling Eviews from econometrics. In the end, we get relatively scientific result.

Can Derivative Information Predict Stock Price Jumps?

2015 ◽  
Vol 31 (3) ◽  
pp. 845
Author(s):  
Noe-Keol Kwark ◽  
Hyoung-Goo Kang ◽  
Sang-Gyung Jun
Keyword(s):  
Standard Deviation ◽  
Exchange Rates ◽  
Stock Prices ◽  
Stock Price ◽  
Implied Volatility ◽  
Stock Index ◽  
Rates Of Return ◽  
Cross Sectional ◽  
Put Options ◽  
The Cross

<p>This study examines the predictability of jumps in stock prices using options-trading information, the futures basis spread, the cross-sectional standard deviation of returns on components in the stock index, and exchange rates. A stock price jump was defined as a large fluctuation in the stock price that deviated from the distribution thresholds of the past rates of return. This empirical analysis shows that the implied volatility spread between ATM call and put options was a significant predictor for both upward and downward jumps, whereas the volatility skew was less significant. In addition, the futures basis spread was moderately significant for downward stock price jumps. Both the cross-sectional standard deviation of the rates of return on component stocks in the KOSPI 200 and the won-dollar exchange rates were significant predictors for both upward and downward jumps.</p>

WHEN THE BUBBLE IS GOING TO BURST …

1999 ◽  
Vol 02 (03) ◽  
pp. 285-292 ◽  
Author(s):  
JING CHEN
Keyword(s):  
Hong Kong ◽  
Stock Market ◽  
Stock Price ◽  
Price Change ◽  
Convertible Bond ◽  
Price Behavior ◽  
Clear Signal ◽  
Security Markets ◽  
Relationship Of ◽  
The Relationship

There has been constant debate about the predictability of the security markets. We examine the relationship between the prices of a stock and its convertible bond during the Hong Kong stock market bubble of 1997 and its subsequent crash. We find that the price behavior of the share and the convertible bond not only gave a clear signal of the market reversal, but also the minimum range of the stock price change. This example offers concrete evidence that the market becomes highly predictable at times and gives us a chance to understand the relationship of the underlying stock and its derivatives during market bubbles.

scholarly journals Informasi Akuntansi dan Harga Saham Perusahaan LQ45

2019 ◽  
Vol 30 (1) ◽  
pp. 32
Author(s):  
Dwi Hartini Rahayu
Keyword(s):  
Panel Data ◽  
Stock Price ◽  
Accounting Information ◽  
Data Set ◽  
Book Value ◽  
Independent Variables ◽  
Earnings Per Share ◽  
Operating Cash Flow ◽  
Relationship Of ◽  
Positive Effect

This paper examine relationship of accounting information and stock price of LQ45 firms. Earnings per share (EPS), book-value per share (BVPS) and net operating cash flow per share (NOCFPS) are used as independent variables and stock price as dependent variable.  Hypothesis was tested using balanced panel data set of 23 listed companies included in the LQ45 index during 2013-2017. The result of this study shows that EPS and NOCFPS has a positive effect on stock price, while there is no evidence that BVPS has effect on stock price.

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