Df Structure Models For Options Pricing
AbstractBased on the Partial Distribution, , we presents the concepts and expressions of DF process and DF structure and put forward the DF structure models of pricing options on a non-dividend-paying underlying for the first time. The DF structure models are able to price the call and put options exercised at any time, so it is applicable to pricing the American and European options. Finally, examples are given to compare the options priced by DF formulas and by Black-Scholes formulas, they show, as a whole, that the DF¡¯ prices of options are closer to the trading prices than Black-Scholes¡¯ prices in many cases.
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Bibliographic InfoPaper provided by EconWPA in its series Finance with number 0403005.
Length: 12 pages
Date of creation: 24 Mar 2004
Date of revision:
Note: Type of Document - pdf; pages: 12
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Partial Distribution; DF structure; options pricing; analytic formula; non-dividend-paying;
Other versions of this item:
- G - Financial Economics
This paper has been announced in the following NEP Reports:
- NEP-ALL-2004-03-28 (All new papers)
- NEP-CFN-2004-03-28 (Corporate Finance)
- NEP-FIN-2004-03-28 (Finance)
- NEP-RMG-2004-03-28 (Risk Management)
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