Power option pricing Under Heston model (Evidences of Tehran stock exchange)

Q: How can I download an article?

To download an article from SID, first log in to the site, search for the article title, and click on the 'Download Article' option.

Q: How can I download an ISI article?

To download an ISI article on SID, enter the keyword or article title in the search bar, view the relevant results, click on the desired article, and select the 'Download Article' option.

Q: How can I access the SID database?

To access the SID database, visit SID.ir, create an account, and log in to access scientific resources.

Q: Is downloading articles from SID free?

Some articles on SID are available for free, while others require payment. Details are specified on the article's page.

Sahebi Fard Hossein; Dastranj Elham; Abdolbaghi Ataabadi Abdolmajid; HEJAZI SEYED REZA; Motamednezhad Ahmad

مرکز اطلاعات علمی Scientific Information Database (SID) - Trusted Source for Research and Academic Resources

Journal Paper

Paper Information

Journal: INVESTMENT KNOWLEDGE Year:2020 | Volume:9 | Issue:33 Page(s): 241-257

Download Full-Text

Persian Verion

View:

434

Download:

Cites:

Information Journal Paper

Title

Power option pricing Under Heston model (Evidences of Tehran stock exchange)

Author(s)

Keywords

Heston modelQ1

Fast Fourier transformQ1

power optionQ1

Abstract

In this paper, power option pricing is driven applying by daily information of Tehran stock exchange. The sample period of the study is from 1387 to 1397, when Tehran stock exchange index is approximately closed to Heston model. In this work, the considered pricing is done in two sections with different period of times. At first, The Fast Fourier transform is applied for solving our main model. In the sequel the results of the considered pricing are shown that power option pricing can not follow the Heston model that means it causes the arbitrage situations in our considered market, Tehran stock exchange.

Cites

No record.

References

No record.

Cite

APA: Copy

Sahebi Fard, Hossein, Dastranj, Elham, Abdolbaghi Ataabadi, Abdolmajid, HEJAZI, SEYED REZA, & Motamednezhad, Ahmad. (2020). Power option pricing Under Heston model (Evidences of Tehran stock exchange). INVESTMENT KNOWLEDGE, 9(33 ), 241-257. SID. https://sid.ir/paper/408900/en

Vancouver: Copy

Sahebi Fard Hossein, Dastranj Elham, Abdolbaghi Ataabadi Abdolmajid, HEJAZI SEYED REZA, Motamednezhad Ahmad. Power option pricing Under Heston model (Evidences of Tehran stock exchange). INVESTMENT KNOWLEDGE[Internet]. 2020;9(33 ):241-257. Available from: https://sid.ir/paper/408900/en

IEEE: Copy

Hossein Sahebi Fard, Elham Dastranj, Abdolmajid Abdolbaghi Ataabadi, SEYED REZA HEJAZI, and Ahmad Motamednezhad, “Power option pricing Under Heston model (Evidences of Tehran stock exchange),” INVESTMENT KNOWLEDGE, vol. 9, no. 33 , pp. 241–257, 2020, [Online]. Available: https://sid.ir/paper/408900/en

Related Journal Papers