The aim of this paper is to price an option in a multiperiod binomial model, when there is uncertainty on the states of the world at each node of the tree. As a consequence, also the stock price at each state takes imprecise values. Possibility distributions are used to handle this type of problems. The pricing methodology is still based on a risk neutral valuation approach, but, as a consequen...

The stock price has long been an essential issue in stock market analysis, while rarely had any relevant study covered the relational effect of the bidder factor on stock price. Hereby we try to find an association between bid and transaction price time series. The fluctuation of pattern ratios embedded in the bid series affects the fluctuation of transaction price. That means when there is sma...

Due to the inherent non-linearity and non-stationary characteristics of financial stock market price time series, conventional modeling techniques such as the Box–Jenkins autoregressive integrated moving average (ARIMA) are not adequate for stock market price forecasting. In this paper, a forecasting model based on chaotic mapping, firefly algorithm, and support vector regression (SVR) is propo...

Stock price, been studied for hundreds of years, is one of the most versatile thus hardly predictable things that is deeply rooted in the modern economy. With the trading frequency reaching sub-second and beyond, more advanced real-time stock price prediction tools would be highly demanded in addition to traditional financial analysis. In this work, we applied SVM and Naïve Bayes algorithms to ...

This paper examines the determinants of commodity futures hedging and of risk premia arising from covariation of the futures price with stock market returns, and with the reve? nues of producers. Owing to supply shocks that stochastically redistribute real wealth (surplus) between producers and consumers, and to limited participation in the futures market, the total risk premium in the model is...

There exist dual listed stocks which are issued by the same company in some stock markets. Although these stocks bare the same firm-specific risks and enjoy identical dividends and voting policies, they are priced differently. Some previous studies show this seeming deviation from the law of one price can be solved by allowing different expected returns and market prices of risk for investors h...

Stock price crash risk is an unfavourable event in business that may decrease the shareholder’s wealth and hurt stability capital market growth. This study investigates impact of audit quality measured by auditor industry specialization (AIS), tenure (AT), committee independence (ACI), firm size(AFS)) on stock value (measured down-to-up unpredictability) for a sample 70 non-financial firms list...

This study investigates the influence of gas price, crude oil price and international coal demand on sales volume, selling revenue, financial performance, business risk stock Indonesia mining is listed Stock Exchange (IDX). The sample companies IDX in period 2014 – 2018. employs a structural equation model using GeSCA software to examine relationship effect between research variables. empirical...