Option Pricing Under Stochastic Interest Rates

Fang, Haowen

doi:10.5815/ijem.2012.03.12

Cited by 2 publications

(2 citation statements)

References 22 publications

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“…Ghorbani [82] have studied on pricing with investment plane based on random interest rates. Ahmadi [83] has analyzed a new mathematical method with a linear fractional programming problem to evaluate the economic growth component.…”

Section: Strategy Dimensions and Control Package Dimensionsmentioning

confidence: 99%

Assessment and Prioritize Risk Factors of Financial Measurement of Management Control System for Production Companies Using a Hybrid Z-SWARA and Z-WASPAS with FMEA Method: A Meta-Analysis

et al. 2022

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The management control system in an industry is managerial, directional, hindrance, and cohesive action in order to cohere and regulate various branches and sub-branches. In fact, it is a system that supports the real state of matters in the right way. This method is intended at assuring that the purposes and activities carried out have the desired outcomes and eventually lead to the objects and purposes of the company. In this matter, the financial and non-financial management control system is essential both when it comes to strategy community; Consequently, in this paper, the management control system is classified into financial and non-financial categories because such analysis gives a chance to get a broad assessment of a management control system relationship in organizations. In this paper, we evaluate the relationship between business strategy and management control system and their influences on financial performance measurement of a manufacturer (a case study of Maral co.) with the use of Merchant’s theory. Furthermore, In this case, a decision-making strategy centered on the FMEA is used to identify and prioritize risk factors financial of the control system in companies. Nevertheless, because this strategy has some significant limitations, this research has presented a decision-making approach depending on Z-number theory. For tackle, some of the RPN score’s drawbacks, the suggested decision-making methodology combines the Z-SWARA and Z-WASPAS techniques with the FMEA method. The findings reveal that in the non-financial management control system element, customer satisfaction, and in the financial component, cost standards are at the largest level of weight. Furthermore, the strategic planning factor with a rate of 2.95 and the deviation analysis factor with a rate of 2.87 is at the lowest level, respectively. In sum, market or industry changes are the primary cause of risk in businesses, according to FMEA methodology and the opinions of three professionals.

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Section: Strategy Dimensions and Control Package Dimensionsmentioning

confidence: 99%

Assessment and Prioritize Risk Factors of Financial Measurement of Management Control System for Production Companies Using a Hybrid Z-SWARA and Z-WASPAS with FMEA Method: A Meta-Analysis

et al. 2022

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“…Xiao [20] gave the solution of Black-Scholes formula under the partial differential equation method, the equivalent martingale measure method, and the derivation of European option pricing with the stochastic interest rate, paid dividend and jump-diffusion. Feng [21] with the stock price. Meanwhile, the investment strategy is taken when the stock price higher than the striking price.…”

Section: Introductionmentioning

confidence: 99%

The Call Option Pricing Based on Investment Strategy with Stochastic Interest Rate

Zhang¹,

Shu²,

Kan³

et al. 2018

JMF

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In this paper, the call option price is evaluated based on linear investment strategy in order to hedge the risk actively in stock market with stochastic interest rate. The Vasicek model is used to describe the structure of interest rates. The mathematical characterization is discussed for the unique no-arbitrage price associated with any attainable contingent claim. The appropriate numeraire (zero-coupon bond) and measures (T-forward measure) are chosen to simplify the calculations. Based on the designed linear investment strategy with stochastic interest rate, a novel option price approach is obtained under the T-forward measure.

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Option Pricing Under Stochastic Interest Rates

Cited by 2 publications

References 22 publications

Assessment and Prioritize Risk Factors of Financial Measurement of Management Control System for Production Companies Using a Hybrid Z-SWARA and Z-WASPAS with FMEA Method: A Meta-Analysis

Assessment and Prioritize Risk Factors of Financial Measurement of Management Control System for Production Companies Using a Hybrid Z-SWARA and Z-WASPAS with FMEA Method: A Meta-Analysis

The Call Option Pricing Based on Investment Strategy with Stochastic Interest Rate

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