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
The fiducial test of partial distribution
Designing the Pearsons statistic as following:
(14)
There are two parameters to be estimated,
If there is nothing special to mention, we shall use (12) and (13) to estimate parameters underside, and use (14) as test statistic. We adopt the significance level α=0.025, i.e. the fiducial level 1-α=0.975 in the following statistic test.
And the relevant statistic test results of lognormal distribution, χ2l, are given for the comparison with χ2 . The parameters in lognormal distribution are estimated by the maximum likelihood.
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