دانشگاه تبریز
فهرست نشریات دارای اعتبار وزارت علوم، تحقیقات و فناوری
پایگاه استنادی علوم جهان اسلام (ISC)

 آمار

تعداد نشریات44
تعداد شماره‌ها1,303
تعداد مقالات16,035
تعداد مشاهده مقاله52,538,325
تعداد دریافت فایل اصل مقاله15,242,112
Beiranvand, Ali, Ivaz, Karim, Beiranvand, Hamzeh. (1400). A new methodology to estimate constant elasticity of variance. سامانه مدیریت نشریات علمی, 9(4), 1059-1068. doi: 10.22034/cmde.2020.27563.1369
Ali Beiranvand; Karim Ivaz; Hamzeh Beiranvand. "A new methodology to estimate constant elasticity of variance". سامانه مدیریت نشریات علمی, 9, 4, 1400, 1059-1068. doi: 10.22034/cmde.2020.27563.1369
Beiranvand, Ali, Ivaz, Karim, Beiranvand, Hamzeh. (1400). 'A new methodology to estimate constant elasticity of variance', سامانه مدیریت نشریات علمی, 9(4), pp. 1059-1068. doi: 10.22034/cmde.2020.27563.1369
Beiranvand, Ali, Ivaz, Karim, Beiranvand, Hamzeh. A new methodology to estimate constant elasticity of variance. سامانه مدیریت نشریات علمی, 1400; 9(4): 1059-1068. doi: 10.22034/cmde.2020.27563.1369

A new methodology to estimate constant elasticity of variance

Computational Methods for Differential Equations
مقاله 9، دوره 9، شماره 4، دی 2021، صفحه 1059-1068    اصل مقاله (115.7 K)
نوع مقاله: Research Paper
شناسه دیجیتال (DOI): 10.22034/cmde.2020.27563.1369
نویسندگان
Ali Beiranvand* 1؛ Karim Ivaz1؛ Hamzeh Beiranvand2
1Faculty of Mathematical Sciences, University of Tabriz, Tabriz, Iran.
2Department of Electrical Engineering, Lorestan University, Khoramabad, Lorestan, Iran.
چکیده
This paper introduces a novel method for estimation of the parameters of the constant elasticity of variance model. To do this, the likelihood function will be constructed based on the approximate density function. Then, to estimate the parameters, some optimization algorithms will be applied.
کلیدواژه‌ها
Finance, Constant elasticity of variance؛ Likelihood function؛ Particle swarm algorithm؛ General relativity search algorithm؛ Nelder-Mead algorithm
مراجع
  • [1]          M. S. Bazaraa, H. D. Sherali, and C. M. Shetty, Nonlinear Programming, Third Edition, John Wiley & Sons, Inc., 2006.
  • [2]          S. Beckers, The constant elasticity of variance model and its implications for option pricing, Journal of Finance, 35(3) (1980), 661–673.
  • [3]          H. Beiranvand and E. Rokrok, General Relativity Search Algorithm: A Global Optimization Approach, International Journal of Computational Intelligence and Application, 14(3) (2015), 1550017 (29 pages).
  • [4]          F. Black and M. Scholes, The pricing of options and corporate liabilities, The Journal of Political Economy, 81(3) (1973), 637–654.
  • [5]          A. Chockalingam and K. Muthuraman, Pricing American options when asset prices jump, Operations Research Letters, (2009) doi:10.1016/j.orl.2009.11.001.
  • [6]          J. Cox, Notes on option pricing I: Constant elasticity of variance diffusions, Working paper, Stanford University, 1975 (reprinted in Journal of Portfolio Management, 22 (1996), 15–17).
  • [7]          F. Delbaen and E. Shirakawa, A note on option pricing for constant elasticity of variance model, Financial Engineering and the Japanese Markets, 9(2) (2002), 85–99.
  • [8]          R. Eberhart and J. Kennedy, A new optimizer using particle swarm theory, in Proc. 6th Int. Symp. Micro Machine and Human Science (MHS), (1995), 39–43.
  • [9]          D. C. Emanuel and J. D. MacBeth, Further results on the constant elasticity of v ariance call option pricing model, Journal of Financial and Quantitative Analysis, 17(4) (1982), 533–554.
  • [10]        J. H. Holland, Adaptation in Natural and Artificial Systems: An Introductory Analysis with Applications to Biology, Control, and Artificial Intelligence(U Michigan Press, 1975).
  • [11]        J. Kennedy and R. Eberhart, Particle swarm optimization, in Proc. IEEE Int. Conf. Neural Networks (1995), 1942–1948.
  • [12]        G. W. Liu and L. J. Hong, Revisit of stochastic mesh method for pricing American options, Operations Research Letters, 37 (2009), 411–414.
  • [13]        T. Marsh and E. Rosenfeld, Stochastic processes for interest rates and equilibrium bond prices, Journal of Finance, 38(2) (1983), 635–650.
  • [14]        A. Melino and S. Turnbull, The pricing of foreign currency options, Canadian Journal of Eco- nomics, 24 (1991), 251-281.
  • [15]        J. A. Nelder and R. Mead, A simplex method for function minimization, Computer J., 7 (1965), 308–313.
  • [16]        J. P. V. Nunes, Pricing American options under the constant elasticity of variance model and subject to bankruptcy, Journal of Financial and Quantitative Analysis, 44 (2009), 1231–1263.
  • [17]        M. Schroder, Computing the constant elasticity of variance option pricing formula, J. of Fi- nance, 44 (1989), 211–219.
  • [18]        A. L. Tucker, D. R. Peterson, and E. Scott, Tests of the Black-Scholes and constant elasticity of variance currency call option valuation models, The Journal of Financial Research, 11(3) (1988), 201–213.
آمار
تعداد مشاهده مقاله: 494
تعداد دریافت فایل اصل مقاله: 448


سامانه مدیریت نشریات علمی. قدرت گرفته از سیناوب