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
Estimation and Test of the Parameters in Partial Distribution
The modified maximum likelihood estimation
If the fields of samples of stock price are made in the following partition:
and the emergence number of price samples in each field:
denoting:
where zmax and zmin are separately the highest price and the lowest price of all samples. By (1) we have approximatively:
(10)
According to the method of maximum likelihood estimation, we have
where,
(11)
combining (9) with (8), We have the following estimate formulas
(12) (13)
where,
In practice, µ and σ2 are positive.
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