Confidence Interval for Solutions of the Black-Scholes Model
Journal Title: Communications in Nonlinear Analysis - Year 2019, Vol 4, Issue 3
Abstract
The forecast is very complex in financial markets. The reasons for this are the fluctuation of financial data, Such as Stock index data over time. The determining a model for forecasting fluctuations, can play a significant role in investors deci-sion making in financial markets. In the present paper, the Black Scholes model in the prediction of stock on year later value, on using data from mellat Bank and Ansar Bank shares in the year 2017-2018, in has been evaluated, and using a numerical method Euler Murayama and computer simulation with the Maple software, for simulated data, gained averages and Standard deviations, confidence interval and their normal histogram are plotted. Also, average of the answers obtained from computer simulations is compared with actual ones, and after ana-lyzing and reviewing the results, performance of the Black-Scholes model has been measured, in stock value prediction. And in the end, this research is com-pared with internal article, and suggestions for future research are raised.
Authors and Affiliations
Mehran Paziresh, Mohamad Ali Jafari, Majid Feshari
Keywords
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- EP ID EP648842
- DOI 10.22034/AMFA.2019.1869742.1231
- Views 80
- Downloads 0
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