DF Structure models for options pricing
Basic Assumptions and DF Structure
Partial distribution and stock price
The DF Structure Pricing Models of Options on A Non-Dividend-Paying Stock
DF structure models of call options pricing
Estimation and Test of the Parameters in Partial Distribution
The fiducial test of partial distribution
The Fitness Analysis of Partial Distribution
The fitness analysis for stock index and stock of Chinese market
Comparison Research Between DF Structure Pricing and B-S Pricing
DF Structure models for options pricing
Comparison Research Between DF Structure Pricing and B-S Pricing
Suppose r (risk-free rate of interest) =0.07. Here we compare results from DF formulas with those of B-S (Black- Scholes) formulas in options pricing.
The comparative analysis for DJX
Time: Dec. 24, 2002
Breed: The option contract on DJX
Maturity: Expires After: Fri 19-Dec-03.
Underlying: Close point of DJX at current date, 84.48.
In table 1, there are the prices on Dec. 24, 2002, which were the closing prices traded actually in the United States option market (TP), the call and put options prices calculated by DF structure formulas, (DF), and the call and put options prices calculated by B-S formulas, (B-S). From table 1, we see the DF prices are closer to the actual trading prices than the B-S prices. If taking the strike price, X=88, and T=199 for example, the variety of call and put option prices calculated by DF formulas and B-S formulas are respectively shown in figure 6.1(a) and 6.1(b).
Prof. Feng Dai, Prof. Zifu Qin
DF Structure models for options pricing
Based 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.
Prof. Feng Dai and Prof. Zifu Qin