BACKGROUND To accurately predict the movement of stock prices is always of both academic importance and practical value. So far, a lot of research has been reported to help understand the behavior of stock prices. However, some of the existing theories tend to render us the belief that the time series of stock prices are unpredictable on a long-term timescale. The question arises whether the lo...

An option is a nancial contract whose value depends on that of an underlying asset such as a company stock. The Black-Scholes model for option pricing, published in 1973, revolutionized the nancial industry by introducing a no-arbitrage paradigm for valuing uncertainty and hedging against risk. This simple model assumes that the underlying stock price follows a stochastic Brownian motion proces...

The reload provision in an employee stock option entitles its holder to receive one new (reload) option from the employer for each share tendered as payment of strike upon the exercise of the stock option. The number of reloads allowed can be finite or infinite. The shout feature in a call option allows its holder to reset the option’s strike price to the prevailing stock price upon shouting. W...

Many stock exchanges set up certain limits on the maximum variation that a stock is allowed to have in a single day. Table 1 gives an overview of the price limit rules of some of the world exchanges. As reflected in the table, among stock exchanges in 41 countries that we obtain information, 23 of them have price limits and 7 of them have some kinds of circuit breaker rules. The normal assertio...

Stock model is used to describe the evolution of stock price in the form of differential equations. In early years, the stock price was assumed to follow a stochastic differential equation driven by a Brownian motion, and some famous models such as Black-Scholes stock model and Black-Karasinski stock model were widely used. This paper assumes that the stock price follows an uncertain differenti...

Stock loan is different from the traditional loan, it needs to be collateralized by stock. Fairly valuing stock loan is very important for financial market participants. The main contribution of this paper is to give a valuing method of stock loan in uncertain environment. Under the assumption that the underlying stock price follows an uncertain mean-reverting stock model, the price formulas of...

Internet users are confronted with an increasing amount of deceptive contents. Thereby, especially pump and dump manipulations published via e-mail or within the web represent an important problem. Here, deceivers advertise stocks to profit from an increased price level. Within recent years, market surveillance authorities and software vendors have taken several countermeasures against such fra...

different areas of modern financial tools and processes activities contain the matters like innovations in financial tools engineering and risk management. derivatives and especially stock exchange option is part of this innovation. among all numerical procedures in calculating the value of derivatives and the risk sensitivity parameters of option, binomial models are widely used. in this stud...

We analyze the joint inventory and pricing decisions of a firm when demand depends on not only the current selling price but also a memory-based reference price and customers are loss averse. The presence of reference price effect leads to a non-concave one-period expected revenue in price and reference price. We introduce a transformation technique that allows us to prove under some mild assum...