DF STRUCTURE MODELS FOR OPTIONS PRICING

Feng Dai () and Zifu Qin
Additional contact information
Zifu Qin: Zhengzhou Information Engineering University

Finance from University Library of Munich, Germany

Abstract: Based on the Partial Distribution[16], [17], we presents the concepts and expressions of DF process and DF structure and put forward the DF structure models of pricing options on a non-dividend-paying underlying for the first time. The DF structure models are able to price the call and put options exercised at any time, so it is applicable to pricing the American and European options. Finally, examples are given to compare the options priced by DF formulas and by Black-Scholes formulas, they show, as a whole, that the DF¡¯ prices of options are closer to the trading prices than Black-Scholes¡¯ prices in many cases.

Keywords: Partial Distribution; DF structure; options pricing; analytic formula; non-dividend-paying (search for similar items in EconPapers)
JEL-codes: G (search for similar items in EconPapers)
Pages: 12 pages
Date: 2004-03-24
New Economics Papers: this item is included in nep-cfn, nep-fin and nep-rmg
Note: Type of Document - pdf; pages: 12
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

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Related works:
Journal Article: DF Structure Models for Options Pricing (2005)
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Persistent link: https://EconPapers.repec.org/RePEc:wpa:wuwpfi:0403005

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