Confidence Interval for Solutions of the Black-Scholes Model
Journal Title: Communications in Nonlinear Analysis - Year 2019, Vol 4, Issue 3
Abstract
The forecast is very complex in financial markets. The reasons for this are the fluctuation of financial data, Such as Stock index data over time. The determining a model for forecasting fluctuations, can play a significant role in investors deci-sion making in financial markets. In the present paper, the Black Scholes model in the prediction of stock on year later value, on using data from mellat Bank and Ansar Bank shares in the year 2017-2018, in has been evaluated, and using a numerical method Euler Murayama and computer simulation with the Maple software, for simulated data, gained averages and Standard deviations, confidence interval and their normal histogram are plotted. Also, average of the answers obtained from computer simulations is compared with actual ones, and after ana-lyzing and reviewing the results, performance of the Black-Scholes model has been measured, in stock value prediction. And in the end, this research is com-pared with internal article, and suggestions for future research are raised.
Authors and Affiliations
Mehran Paziresh, Mohamad Ali Jafari, Majid Feshari
Keywords
Related Articles
- EP ID EP648842
- DOI 10.22034/AMFA.2019.1869742.1231
- Views 91
- Downloads 0
Prediction the Return Fluctuations with Artificial Neural Networks' Approach
Time changes of return, inefficiency studies performed and presence of effective factors on share return rate are caused development modern and intelligent methods in estimation and evaluation of share return in stock co...
Comparison of Public Investment Approaches on Social Welfare Function: A Case Study of Iran
The use of natural resource revenues for achievement of development has been a challenging issue for resource abundant countries. These challenges stem from the fact that incomes from natural resources are non-durable, u...
Management Demographic Characteristics, Auditor Choice and Earnings Quality: Empirical Evidence from Iran
Recent accounting and management literature shows that demographic character-istics of top management and corporate performance are related. Accordingly, using a two-stage least squares regression model (2SLS), this stud...
Free Cash Flow, Institutional Ownership and Long-Term Performance
Performance appraisal is a process which help shareholders make informed and optimal investment decisions. In recent decades, a long stream of research has devoted particular attention to the importance and impact of fin...
An Analysis of the Repeated Financial Earthquakes
Since the seismic behavior of the earth’s energy (which follows from the power law distribution) can be similarly seen in the energy realized by the stock markets, in this paper we consider a statistical study for compar...