قیمت گذاری اوراق اختیار معامله با کمک روش نیکی وورو اوواروف
الموضوعات :
مهدی ابوالی
1
(گروه مالی، واحد علوم تحقیقات، دانشگاه آزاد اسلامی، تهران، ایران)
مریم خلیلی عراقی
2
(گروه مالی، واحد علوم تحقیقات، دانشگاه آزاد اسلامی، تهران، ایران)
حسن حسن آبادی
3
(گروه فیزیک، دانشکده فیزیک، دانشگاه صنعتی شاهرود، شاهرود، ایران)
احمد یعقوب نژاد
4
(گروه حسابداری، واحد تهران مرکز، دانشگاه آزاد اسلامی، تهران، ایران)
الکلمات المفتاحية: اختیار معامله, معادله قیمتگذاری بلکشولز, معادله شرودینگرگونه و روش پارامتریِ نیکیوورو – اووراروف,
ملخص المقالة :
اوراق اختیار از ابزارهای مهم بازارهای مالی بوده و قیمتگذاری اوراق با معادله قیمتگذاری بلک شولز بسیار متداول است. این معادله جهت قیمتگذاریِ اختیارهای اروپائى استفاده میشود. با بکارگیریِ علوم ریاضی در مباحث مالی، امکان ارائه مدلهای جدیدترِ قیمتگذاری اختیار معامله فراهم شده است. در این مقاله با روش جدید حل معادله دیفرانسیل تحت عنوان نیکیوورو - اوواروف، امکان ارائه مدل متفاوت قیمتگذاری بلک شولز بررسی گردید. سپس، معادله ای جدید برای قیمتگذاری اوراق اختیار معامله ارائه شد. افزایش دقت قیمتگذاری، رفع نواقص مدل بلک شولز، حل منطقی جدید و قابلیت مقایسه خروجی با حل عددی، اهمیت و نوآوری پژوهش حاضر میباشند. نتایج نشان داد؛ امکان ارائه مدل جدید قیمتگذاری اختیار معامله با روش نیکیوورو – اوواروف امکانپذیر بوده و در سطح اطمینان 95 درصد بین قیمتگذاری روش جدید و مدل بلک شولز تفاوت معنادار وجود ندارد. دقت بیشتر قیمتگذاری برای مبالغ بالا، امکان بکارگیریِ معادله در قیمتگذاری اختیار معامله های اروپایی و آمریکایی و اعمال محدودیتهای کمترِ اثبات معادله، مزیتهای مدل جدید هستند. به منظور مقایسه مدل جدید و مدل بلکشولز از اطلاعات 50 اختیار معامله زعفران در فرابورس ایران از سال 1395 لغایت 1398 استفاده و از آزمون مقایسه ای دو گروه مستقل ناپارامتریکِ من ویتنی استفاده گردید.
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Meng, Li., Wang, Mei. (2010). Comparison of the Beckhelsell formula with the frequency Black-Scholes formula in the exchange derivatives market by changing the oscillation. Basic and Applied Sciences, 99–111.
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Sturm, Matthew., Goldstein, Henry. Huntington, Thomas. (2017). Using the pricing model approach to assess strategic decisions in turbulent environments: Black Scholes and airborne changes. Climatic Change, 2, 437–449.
Xu Chen. Jian-ping Wan. (2007). "Pricing options to change the route of the Levy model under the MEM". Mathematical Statistics, vol 23, issue 4, pp 651 -664.