التفاصيل البيبلوغرافية
| العنوان: |
European option pricing model with generalized Ornstein–Uhlenbeck process under stochastic earning yield and stochastic dividend yield |
| المؤلفون: |
N. Phewchean, Y. Wu |
| المصدر: |
Advances in Difference Equations, Vol 2019, Iss 1, Pp 1-15 (2019) |
| بيانات النشر: |
SpringerOpen, 2019. |
| سنة النشر: |
2019 |
| المجموعة: |
LCC:Mathematics |
| مصطلحات موضوعية: |
Options pricing, Stochastic earning yield, Stochastic dividend yield, Black–Scholes–Merton model, Generalized Ornstein–Uhlenbeck process, Mathematics, QA1-939 |
| الوصف: |
Abstract This paper aims to examine and establish the models for European option pricing which include parameters of stochastic dividend yield and stochastic earning yield. We generalize the Ornstein–Uhlenbeck process and define it as generalized Ornstein–Uhlenbeck process. We have learned that the firm stocks, according to Black–Scholes–Merton structure, obey the geometric Brownian motion process. Under a stochastic earning yield, the dividend yield complies with the generalized Ornstein–Uhlenbeck process. The firm dividend randomly deviates from the earning yield flow because of the presence of stochastic components of dynamic Wiener process of generalized Ornstein–Uhlenbeck. In this study, we model the stock price with stochastic earning yield, and stochastic dividend yield to be taking account stochastic market price of risk parameter which is mean-reverting as well. We developed explicit formulae for European call option pricing calculations. From numerical simulation, we could evaluate the performance of our new model that could be compared with other notable option pricing models by using actual option price data. The outcomes prove that our new model performance is best when compared with others. |
| نوع الوثيقة: |
article |
| وصف الملف: |
electronic resource |
| اللغة: |
English |
| تدمد: |
1687-1847 |
| Relation: |
http://link.springer.com/article/10.1186/s13662-019-2210-5; https://doaj.org/toc/1687-1847 |
| DOI: |
10.1186/s13662-019-2210-5 |
| URL الوصول: |
https://doaj.org/article/aa2c12b4ce754014960b79dced7b7200 |
| رقم الانضمام: |
edsdoj.2c12b4ce754014960b79dced7b7200 |
| قاعدة البيانات: |
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