Αποτίμηση μερισματικών δικαιωμάτων προαίρεσης κάτω από ένα στοχαστικό μοντέλο διάχυσης
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Keywords
Ευρωπαϊκό μερισματικό δικαίωμα προαίρεσης ; Μέθοδος Monte Carlo ; Μοντέλο Black-Scholes ; Μερισματική πολιτική ; Μερισματική απόδοση ; Αριθμητική ανάλυση ; Αλγόριθμος Levenberg-Marquardt ; Εκτίμηση παραμέτρων ; Προβλεπτική ικανότηταAbstract
This thesis aims to the valuation of European Dividend call options, by introducing a Monte Carlo based model, presented by Tunaru (2018), according to which the annual cumulative dividend paid by the underlying security, which determines its price to a large extent and thus affecting the derivative price, is given by the stochastic diffusion version of the Verhulst-Pearl differential model, often used in Biology.
To begin with, we cite the theoretical part, in which main definitions along with benchmark historical events related to the notion of options are introduced. In addition, the problem of defining the dividend policy of a company is presented and an overview of the basic research studies related to the pricing of dividend derivatives is carried out. Furthermore, we proceed to the analysis of the Black-Scholes-Merton model, which is considered a milestone for the corresponding literature and finally, we develop the interpretation of the above-mentioned model.
Following the completion of the theoretical study, we then carry out numerical accuracy analysis, utilizing MATLAB software, for four of the parameters included in the cumulative dividend process. Finally, we proceed to the empirical study, to initially estimate the model’s parameters and afterwards evaluate the model’s forecasting ability against the Black – Scholes model that considers the effect of the dividend yield, using available market data for options of different maturities on the Apple stock.
Postgraduate Studies Programme
Χρηματοοικονομική και Τραπεζική με ειδίκευση στη Χρηματοοικονομική και Τραπεζική ΔιοικητικήDepartment
Σχολή Χρηματοοικονομικής και Στατιστικής. Τμήμα Χρηματοοικονομικής και Τραπεζικής ΔιοικητικήςNumber of pages
94Language
Greek
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Αναφορά Δημιουργού-Μη Εμπορική Χρήση-Όχι Παράγωγα Έργα 3.0 Ελλάδα
Αναφορά Δημιουργού-Μη Εμπορική Χρήση-Όχι Παράγωγα Έργα 3.0 Ελλάδα