Application of a limit Function Of Negative Hyper-geometric Distribution in Option Pricing.

Authors

  • Samson Egege Department of Mathematics, Abia State University, Utura, Nigeria
  • Bright O. Osu Escuela de Educación, Universidad Nacional Abierta y a Distancia, Puerto Colombia, Colombia
  • Carlos Granados Escuela de Educación, Universidad Nacional Abierta y a Distancia, Puerto Colombia, Colombia

DOI:

https://doi.org/10.24054/bistua.v20i2.1497

Keywords:

Negative hyper geometric distribution, wealth equation and option

Abstract

This work introduces limit function of a negative hyper geometric distribution of the form .where  and, which is applied in option pricing using wealth equation and some martingale tools. This paper present a simple discrete time model in compares. This work conclude that limit of negative hyper geometric as  can be associated with financial terms that can be used to evaluate option values (non dividend)  which gives the same numerical with CRR model.

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References

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K..Teerapabolarn An improved Binomial distribution to approximate the negative hypergeometric distribution, International Journal of pure and applied mathematics 91(1):77-81. 2014

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C. Olunkwa, B.O. Osu, C. Granados, Mean variance portfolio selection problem with multiscale stochastic volatility, Prospectiva 20(2)(2022), 1-11

Additional Files

Published

2022-11-13 — Updated on 2022-11-15

How to Cite

Egege, S., Osu, B. O., & Granados, C. (2022). Application of a limit Function Of Negative Hyper-geometric Distribution in Option Pricing. BISTUA REVISTA DE LA FACULTAD DE CIENCIAS BASICAS, 20(2), 43–47. https://doi.org/10.24054/bistua.v20i2.1497

Issue

Vol. 20 No. 2 (2022)

Section

Paper

License

Copyright (c) 2022 © Autores; Licencia Universidad de Pamplona.

Creative Commons License

This work is licensed under a Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 International License.

© Autores; Licencia Universidad de Pamplona