تسعير خيارات الشراء الأوربية على الأسهم في ظل التقلبات العشوائية، دراسة تطبيقية باستخدام أنموذج هيستون
The study analyzes the Heston Model to determine the fair value of a European call option. It first presents a conceptual approach to options contracts, then discusses the Black-Scholes model as the benchmark for option pricing. The Heston Model is introduced as a more realistic framework, modeling...
| Publicado en: | Indonesian Nursing Journal of Education & Clinic (INJEC) Vol. 20; no. 1; pp. 81 - 103 |
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| Autores principales: | , |
| Formato: | Journal Article |
| Publicado: |
Association of Indonesian Nurses Education Center (AINEC)
Jun2025
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| Acceso en línea: | Ver este registro en EBSCOhost |
| fields | @attributes: recordID: 1 pdfLink: plink: https://search.ebscohost.com/login.aspx?direct=true&db=ccm&AN=188168780&site=ehost-live header: @attributes: shortDbName: ccm uiTerm: 188168780 longDbName: CINAHL Complete uiTag: AN controlInfo: bkinfo: dissinfo: jinfo: jid: 25278800 LF97 jtl: Indonesian Nursing Journal of Education & Clinic (INJEC) issn: 25278800 maglogo: N pubinfo: dt: Jun2025 vid: 20 iid: 1 pid: 46663 pub: Association of Indonesian Nurses Education Center (AINEC) artinfo: ui: 188168780 188168780 ppf: 81 ppct: 22 formats: tig: atl: تسعير خيارات الشراء الأوربية على الأسهم في ظل التقلبات العشوائية، دراسة تطبيقية باستخدام أنموذج هيستون aug: au: شوارفي ة محمد الأمين زايري بلقاسم affil: مخبر الإصلاحات الاقتصادية والتكامل الإقليمي والجهوي جامعة وهران 2 محمد بن أحمد، الجزائر sug: ab: The study analyzes the Heston Model to determine the fair value of a European call option. It first presents a conceptual approach to options contracts, then discusses the Black-Scholes model as the benchmark for option pricing. The Heston Model is introduced as a more realistic framework, modeling implied volatility as a mean-reverting stochastic process driven by a Brownian motion and governed by a partial differential equation linking volatility to the asset price. A descriptive approach is used for theoretical aspects, while an analytical approach is applied in the empirical study. Model parameters are calibrated using the L-BFGS-B optimization algorithm to assess predictive accuracy. The model is then implemented in Python and compared with market data, including option prices and implied volatility. Results show that the model effectively captures volatility dynamics and performs well in pricing (OTM) and (ATM) options. pubtype: Academic Journal doctype: Journal Article ougenre: Article language: English refInfo: holdings: @attributes: islocal: N |
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