Price Option Trading with the help of Nikki Vorovarov method

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abvali mehdi; KHALILI ARAGHI MARYAM; HASSANABADI HASSAN; YAGHOOBNEZHAD AHMAD

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Paper Information

Journal: FINANCIAL ENGINEERING AND SECURITIES MANAGEMENT (PORTFOLIO MANAGEMENT) Year:2020 | Volume:11 | Issue:44 Page(s): 1-23

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Title

Price Option Trading with the help of Nikki Vorovarov method

Author(s)

abvali mehdi | KHALILI ARAGHI MARYAM | HASSANABADI HASSAN | YAGHOOBNEZHAD AHMAD | Issue Writer Certificate

Keywords

Option pricingQ1

Blacksholes Pricing EquationQ1

Schrodinger Equation and Method Nikivorou parameter-OvarovQ1

Abstract

The Black-Scholes pricing theory is important ways of valuating transaction options. In this paper, a new method was developed to prove and improve the Black-Scholes equation by focusing on the Black-Scholes main Schrö dinger equation and solving this equation using the NikkeuroOvaryov method. In the following, while investigating the possibility of improving the Black-Scholes equation with this method, a new equation for the pricing options was presented and tested. Increasing the accuracy of pricing arbitrary deals by using the equation provided, especially for high-value trades, logical solution in a new way, comparing output with numerical solution and innovating. Option based on Lagrange polynomial functions, the goals of doing research are present. The results showed a different positive probability for the Black-Scholes equation by solving the differential equation by the method Nikkirovo-Ovaryov is feasible and at 95% confidence level, there is no significant difference between the price of the two main black-hole groups and the new model. In order to compare the output of the new model with the Black Sholes main model, information from the 50 Saffron Deal options in Iran's Overseas Branch was limited to the 1395 to 1398 period and the Mann-Whitney independent nonparametric group was used to compare.

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APA: Copy

abvali, mehdi, KHALILI ARAGHI, MARYAM, HASSANABADI, HASSAN, & YAGHOOBNEZHAD, AHMAD. (2020). Price Option Trading with the help of Nikki Vorovarov method. FINANCIAL ENGINEERING AND SECURITIES MANAGEMENT (PORTFOLIO MANAGEMENT), 11(44 ), 1-23. SID. https://sid.ir/paper/367274/en

Vancouver: Copy

abvali mehdi, KHALILI ARAGHI MARYAM, HASSANABADI HASSAN, YAGHOOBNEZHAD AHMAD. Price Option Trading with the help of Nikki Vorovarov method. FINANCIAL ENGINEERING AND SECURITIES MANAGEMENT (PORTFOLIO MANAGEMENT)[Internet]. 2020;11(44 ):1-23. Available from: https://sid.ir/paper/367274/en

IEEE: Copy

mehdi abvali, MARYAM KHALILI ARAGHI, HASSAN HASSANABADI, and AHMAD YAGHOOBNEZHAD, “Price Option Trading with the help of Nikki Vorovarov method,” FINANCIAL ENGINEERING AND SECURITIES MANAGEMENT (PORTFOLIO MANAGEMENT), vol. 11, no. 44 , pp. 1–23, 2020, [Online]. Available: https://sid.ir/paper/367274/en

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