SURVEY OF EFFICIENCY LEVY PROCESS IN PRICING OPTIONS

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NABAVI CHASHMI SEYED ALI; BAHRAMZADE RAZIYE

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Journal: FINANCIAL KNOWLEDGE OF SECURITY ANALYSIS (FINANCIAL STUDIES) Year:2018 | Volume:11 | Issue:38 Page(s): 117-127

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Information Journal Paper

Title

SURVEY OF EFFICIENCY LEVY PROCESS IN PRICING OPTIONS

Author(s)

NABAVI CHASHMI SEYED ALI | BAHRAMZADE RAZIYE | Issue Writer Certificate

Keywords

LEVY PROCESSQ2

BLACK-SCHOLESQ2

PRICING OPTIONSQ2

Abstract

Options pricing is one of the most prominent issues in financial mathematics. BLACK-SCHOLES model is a popular model continuous time price distribution of powers in which the logarithm of the normal asset returns and volatility is constant. In line with the realities of the markets closer to mathematical models, new processes based on known processes were introduced Levy. The simplest model with jump Markov processes, LEVY PROCESSes that are the perfect alternative for this purpose are. This process has infinite divisible distributions that are capable of skewness and kurtosis is extra and is used in PRICING OPTIONS orders. In the study, of the sort of description stock return correlation comparison of Tehran Stock Exchange during the period from 2007 to 2015 basis and by simulating the price of them using the process of Levy, the performance of this series of random processes in the portfolio and compared to traditional model BLACK-SCHOLES reviewed. The findings of this study show the process of Levy method BLACK-SCHOLES efficiency and more power to transactions in pricing.

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APA: Copy

NABAVI CHASHMI, SEYED ALI, & BAHRAMZADE, RAZIYE. (2018). SURVEY OF EFFICIENCY LEVY PROCESS IN PRICING OPTIONS. FINANCIAL KNOWLEDGE OF SECURITY ANALYSIS (FINANCIAL STUDIES), 11(38 ), 117-127. SID. https://sid.ir/paper/200270/en

Vancouver: Copy

NABAVI CHASHMI SEYED ALI, BAHRAMZADE RAZIYE. SURVEY OF EFFICIENCY LEVY PROCESS IN PRICING OPTIONS. FINANCIAL KNOWLEDGE OF SECURITY ANALYSIS (FINANCIAL STUDIES)[Internet]. 2018;11(38 ):117-127. Available from: https://sid.ir/paper/200270/en

IEEE: Copy

SEYED ALI NABAVI CHASHMI, and RAZIYE BAHRAMZADE, “SURVEY OF EFFICIENCY LEVY PROCESS IN PRICING OPTIONS,” FINANCIAL KNOWLEDGE OF SECURITY ANALYSIS (FINANCIAL STUDIES), vol. 11, no. 38 , pp. 117–127, 2018, [Online]. Available: https://sid.ir/paper/200270/en

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