Option pricing by Nikivorou-Ovarov differential resolution method
Quarterly Journal of Securities Exchange

Quarterly Journal of Securities Exchange

Option pricing by Nikivorou-Ovarov differential resolution method

Document Type : Original Article

Authors
mehdi abvali 1
maryam khaliliaraghi 2
hasan hasanabadi 3
ahmad yaghobnezhad 4
1 PhD student, Financial Department, Research Science Branch, Islamic Azad University, Tehran, Iran
2 Assistant Professor of Accounting Department, Faculty of Management, University of Tehran, Iran
3 Professor of Physics Department, Shahrood University of Technology, Shahrood, Iran
4 Associate Professor of Accounting Department, Tehran Center, Islamic Azad University, Tehran, Iran
10.22034/jse.2020.11314.1512
Abstract
The Black-Scholes pricing theory is one of the most important ways of valuating transaction options. This equation is used to pricing a variety of European options. In this paper, a new and different 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 Nikkeuro-Ovaryov method. In the following, while investigating the possibility of improving the Black-Scholes equation with this method, a new equation for the pricing of transaction options was presented and tested. Increasing the accuracy of pricing arbitrary deals by using the equation provided, especially for high-value trades, checking logical solution in a new way, comparing output with numerical solution and innovating. Final formula. 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.
Keywords
Transaction option
Black Scholes pricing equation
Schrödinger equation
method Nikki Voru - Ovarov Parameter
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Quarterly Journal of Securities Exchange
Volume 14, Issue 55
Autumn 2021
Pages 118-137