Option Pricing Using Stock Value of Entity.

概要

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The option pricing theory has, recently, been studied by many scholars in the fields of finance, statistics, and control theory. The evaluation of option price has close relation with stock price. Although, the stock price should basically reflect the entity of the enterprise, the market price of stock is usually not equal to the entity value. In fact, the market price of stock tends to fluctuate in such a way that can not be explain by economics or finance theory. We, then, assume here that the market price of stock contains observation noise, and we try evaluate the option price by eliminating such noise and estimating the entity value of stock.In this paper, we assume that the observation noise of stock price follows white Gaussian process, and the entity stock price follows log-normal process. Using the result of entity stock estimation, we propose an algorithm of option evaluation. After testing the algorithm by some simulation, we calculated the estimated entity price of stock and implied volatility of call option by using the real market data.
公益社団法人計測自動制御学会の論文