Price Option Trading with the help of Nikki Vorovarov method
Subject Areas : Financial engineering
mehdi abvali
1
(Department of Finance, Science and Research Branch, Islamic Azad University, Tehran, Iran.)
Maryam Khalili Araghi
2
(Department of Finance, Science and Research Branch, Islamic Azad University, Tehran, Iran)
HASSAN HASSANABADI
3
(Department of Physics, Faculty of Physics, Shahroud University of Technology, shahroud, iran)
Ahmad Yaghoobnezhad
4
(Department of Accounting, central Tehran Branch, Islamic Azad University, Tehran, Iran)
Keywords: OPTION PRICING, Blacksholes Pricing Equation, , Schrödinger Equation and Method Nikivorou parameter - Ovarov,
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 Schrödinger 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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