Option Pricing Based on Information-Based Model

Document Type : Original Article

Authors
Mohsen Rezaeian 1
Narges Yazdanian 2
َSeyd Alireza Mirarab 3
Neda Farahbakhsh 3
1 Ph.D. Candidate Of Industrial Management -Financial Orientation. Roudehen Branch, Islamic Azad University, Roudehen, Iran.
2 Assistant Prof, Roudehen Branch. Islamic Azad University. Roudehen. Iran.
3 Assistant Prof, Roudehen Branch. Islamic Azad University. Roudehen. Iran
10.22034/jik.2025.24030
Abstract
In the present study, the option pricing model based on the information content of market share and under the title of information-based model was presented and evaluated. The statistical population of the study included companies listed on the Tehran Stock Exchange during the years 2016 to 2020. Their price and return information along with index values with monthly frequency were collected and studied during this period. In order to compare the fair valuation of securities under two methods, first the stocks with information content from the market were identified by estimating the data transfer rate parameter and then the value of the options for each of the studied stocks over a period of one month maturity based on two models. Black-Scholes and information-based pricing was estimated. The results show that the information-based model provides a more accurate assessment of the value of the options and therefore offers a fairer valuation than the Black-Scholes model. According to the research findings, the ratio of profitable trades under the information-based model was significantly larger than this ratio under the Black-Scholes model.
Keywords
Option Pricing
Black-Scholes Model
Information-Based Model
  • امجدیان، سیما (1396). برآورد شیب نوسانات ضمنی قرارداد اختیار معامله در سر رسیدهای کوتاه مدت به روش لوی، کارشناسی ارشد، دانشگاه آیت‌الله‌العظمی بروجردی (ره).
  • جنابی، امید (1398). شبیه سازی مونت کارلو جهت قیمت‌گذاری اوراق اختیار اروپایی تحت فرآیند پرش-انتشار، دکتری تخصصی، دانشگاه سیستان و بلوچستان.
  • لطفی، فروغ؛ آقاجان نشتائی، رضا؛ مشکی میاوقی، مهدی (1401). مقایسه کالیبراسیون مدل‌های قیمت‌گذاری اوراق اختیار خرید مبتنی‌بر نوسانات تصادفی و تکنیک تبدیل انتگرال تعمیم‌یافته. فصلنامه علمی مدلسازی اقتصادی، 16(59)، 67-86.
  • لنگری، احسان (1397). اختیار معامله و ریسک در شرکت‌های پذیرفته‌شده در بورس اوراق بهادار تهران، کارشناسی ارشد، موسسه آموزش عالی حکیمان.
  • مهرنوش، علی؛ نسل موسوی، سیدحسین؛ جعفری، علی (1400). ابزارهای مالی مشتقه (اختیار معامله و اختیار فروش تبعی) و هم زمانی بازده سهام؛ شواهدی از بازار سرمایه ایران. مهندسی مالی و مدیریت اوراق بهادار، 49، 446-460.
  • نام‌آور، فریبا (1393). بررسی قیمت‌گذاری اختیار اروپایی با نوسانات نرخ بهره در شرکت‌های پذیرفته شده در سازمان بورس اوراق بهادار، کارشناسی ارشد، دانشگاه علم و فرهنگ تهران.
  • نبوی چاشمی، سیدعلی؛ عبداللهی، فرهاد (1397). بررسی و مقایسه الگوهای سود اختیارمعاملات آسیایی، اروپایی و آمریکایی سهام در بورس اوراق بهادار تهران، مهندسی مالی و مدیریت اوراق بهادار، 34: 359-380.
  • نصیری، کورش؛ عسکرزاده، غلامرضا (1402). تحلیل مقایسه ای کارایی مدل قیمت گذاری بلک شولز و درخت دوجمله ای در معاملات اختیار خرید بورس اوراق بهادار تهران. مهندسی مالی و مدیریت اوراق بهادار، 14(54)، 25-42.
  • یاوری، ساناز (1397). اختیار معامله، ریسک حقوق صاحبان سهام و ارزش‌گذاری تعدیلات ساختار سرمایه در شرکتهای پذیرفته شده در بورس اوراق بهادار تهران، کارشناسی ارشد، موسسه آموزش عالی حکیمان.
  • Bao, S. Chen, W., Zheng, A., Zhou, Y., (2020). Forecasting semistationary processes and statistical arbitrage, Statistical _eory and Related Fields, vol. 4, no. 2, pp. 179–189.
  • Black, F. and Scholes, M. (1973). The Pricing of Options and Corporate Liabilities, Journal of Political Economy, 81, 637-659.
  • Bos L. P., Ware A.F., (2000). How to solve multiasset Black-Scholes with time-dependent volatility and correlation, J. Comput. Financ. 4 (2) 99–107.
  • Chen, C., Wang, H., & Wang, J. (2015). The valuation of forward-start rainbow options. Review of Derivatives Research, 18, 145–188.
  • Christoffersen, P., Heston, S. and Jacobs, K. (2009). The shape and term structure of the index option smirk: Why multifactor stochastic volatility models work so well, Management Science, 55, 1914-1932.
  • Dubinsky, A., Johannes, M., Kaeck, A.,Seeger, J., (2019). Option pricing of earnings announcement risks, Review of Financial Studies, vol. 32, no. 2, pp. 646–687.
  • Friz,P., Gerhold, S., Pinter, A., (2018). Option pricing in the moderate deviations regime, Mathematical Finance, vol. 28, no. 3, pp. 962–988.
  • Glau, K., & Wunderlich, L. (2022). The deep parametric PDE method and applications to option pricing. Applied Mathematics and Computation, 432, 127355.
  • He, X. J., & Chen, W. (2021). A closed-form pricing formula for European options under a new stochastic volatility model with a stochastic long-term mean. Mathematics and Financial Economics, 15, 381-396.
  • Heston, S.L. (1993). A closed-form solution for options with stochastic volatility with applications to bonds and currency options, The Review of Financial Studies, 6(2), 327–343.
  • Hull, J. C. and White, A. (1987). The pricing of options on assets with stochastic volatilities, Journal of Finance, 42, 281–300.
  • Ikamari C., Ngare P., Weke P., (2020). Multi-asset option pricing using an information-based model, Scientific African, Volume 10, e00564.
  • Khraisha T.,Arthur K., (2018). Can we have a general theory of financial innovation processes? A conceptual review, Financ. Innov. 4 (4).
  • Kirkby J. L., Nguyen D. H., Nguyen D., (2020). A general continuous time Markov chain approximation for multi-asset option pricing with systems of correlated diffusions, Applied Mathematics and Computation, Volume 386, 125472.
  • Leippold M., Sch¨arer, S., (2017). Discrete-time option pricing with stochastic liquidity, Journal of Banking & Finance, vol. 75, pp. 1–16.
  • Liu, Y., Chen, X., and Ralescu, D.A., (2051). Uncertain currency model and currency option pricing, International Journal of Intelligent Systems, vol. 30, no. 1, pp. 40–51.
  • Maruddani, D., Trimono, T. (2018). Modeling stock prices in a portfolio using multidimensional geometric brownian motion. Journal of Physics: Conference Series. 1025. 012122. 10.1088/1742-6596/1025/1/012122.
  • Moretto, E., Pasquali, S., Trivellato, B., (2016). Option pricing under deformed Gaussian distributions,” Physica A: Statistical Mechanics and its Applications, vol. 446, pp. 246–263.
  • Pottinton , (2017). Option valuation under stochastic volatility II: with mathematica code, Quant. Financ. 17 (7) 993–995 .
  • Rotkowski A. M., (2011), Estimating Stock Price Volatility in the Black-Scholes-Merton Model, A PROFESSES IONAL DEVELOPMENT JOURNAL for the CONSULTING DISCIPLINE S, pp: 12-19.
  • Russo E., Staino A., (2016), On Pricing Asian Options under Stochastic Volatility ,The Journal of Derivatives Summer, Vol. 23, No. 4: pp. 7-19
  • Scott, L. (1987). Option pricing when the variance changes randomly: Theory, estimation and An Application. Journal of Financial and Quantitative Analysis, 22, 419–438.
  • Shirzadi M., Dehghan M., Foroush Bastani A., (2020). On the pricing of multi-asset options under jump-diffusion processes using meshfree moving least-squares approximation, Communications in Nonlinear Science and Numerical Simulation, Volume 84, 105160.
  • Soleymani F., Akgül A., (2019). Improved numerical solution of multi-asset option pricing problem: A localized RBF-FD approach, Chaos, Solitons & Fractals, Volume 119, 298-309.
  • Stein, E.M. and Stein, J.C. (1991). Stock price distribution with stochastic volatility: An analytic approach. Review of Financial Studies, 4, 727–752.
  • Tian, L., Wang, G., Wang, X., & Wang, Y. (2014). Pricing vulnerable options with correlated credit risk under jump-diffusion processes. Journal of Futures Markets, 34, 957–979.
  • Wang X., (2020). Pricing options on the maximum or minimum of multi-assets under jump-diffusion processes, International Review of Economics & Finance, Volume 70, 16-26.
  • Wang, J., Wang, H., Ko, Y., & Hung, M. (2017). Rainbow trend options: Valuation and applications. Review of Derivatives Research, 20, 91–133.
  • Wang, X. (2016). Pricing power exchange options with correlated jump risk. Finance Research Letters, 19, 90–97.
  • Willems, S., (2019). Asian option pricing with orthogonal polynomials, Quantitative Finance, vol. 19, no. 4, pp. 605–618..