Option pricing under non-normal distribution in mixed of Gram-Charlier model and fractional models (A case study of Iran Stock Exchange‏)

Mohammad Reza Haddadi; Hossein Nasrollahi

Articles in Press, Accepted Manuscript, Available Online from 08 March 2025

https://doi.org/10.22054/jmmf.2025.83277.1154

Abstract
  In order to reduce the risk of financial markets, various tools have emerged, and option contracts are the most common tools in this regard. The Black-Scholes model is used to price a wide range of options contracts. The basic assumption in this model is to follow the normal distribution of returns. ...  Read More

Pricing asset-or-nothing options using Haar wavelet

Saeed Vahdati; Foad Shokrollahi

Volume 4, Issue 1 , July 2024, , Pages 19-35

https://doi.org/10.22054/jmmf.2024.77996.1120

Abstract
  This article proposes a new numerical technique for pricing asset-or-nothing options using the Black-Scholes partial differential equation (PDE). We first use the θ−weighted method to discretize the time domain, and then use Haar wavelets to approximate the functions and derivatives with ...  Read More

Estimating the parameters of 3/2 stochastic volatility model with jump

Ali Safdari-Vaighani; Pooya Garshasebi

Volume 3, Issue 1 , September 2023, , Pages 137-143

https://doi.org/10.22054/jmmf.2023.75272.1101

Abstract
  The financial markets reveal stylized facts that could not be captured by Black-Scholes partial differential equations (PDEs).  In this research, we investigate 3/2 stochastic volatility to pricing options which is more compatible with the interpretation of implied volatility. Numerical study and ...  Read More