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DF Structure models for options pricing

Introduction

Basic Assumptions and DF Structure

Partial distribution and stock price

DF process and DF structure

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

The comparative analysis for MSFT

Conclusions

References

Books Related

Feng Dai:

DF Structure models for options pricing

Keywords:Modelli Econometrici , Opzioni Finanziarie

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. 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.

Prof. Feng Dai and Prof. Zifu Qin

Department of Management Science, Zhengzhou Information Engineering University

Performance Trading

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