Iraqi Exchange Pricing Analysis with Stochastic Delay Differential Equations
| المصدر: | مجلة القادسية للعلوم الإدارية والاقتصادية |
|---|---|
| الناشر: | جامعة القادسية - كلية الادارة والاقتصاد |
| المؤلف الرئيسي: | Awwad, Shatha (Author) |
| مؤلفين آخرين: | Al-Saadony, Muhannad F. (Co-Author) |
| المجلد/العدد: | مج24, ع2 |
| محكمة: | نعم |
| الدولة: |
العراق |
| التاريخ الميلادي: |
2022
|
| الصفحات: | 577 - 584 |
| ISSN: |
1816-9171 |
| رقم MD: | 1326071 |
| نوع المحتوى: | بحوث ومقالات |
| اللغة: | الإنجليزية |
| قواعد المعلومات: | EcoLink |
| مواضيع: | |
| كلمات المؤلف المفتاحية: |
Black-Scholes | Iraqi Exchange Price | Stochastic Delay Differential Equation | Geometric Brownian Motion
|
| رابط المحتوى: |
الناشر لهذه المادة لم يسمح بإتاحتها. |
| المستخلص: |
In this paper, I mostly focused on the application of stochastic delay differential equations (SDDE) to Iraqi exchange price. I used the stochastic delay differential equation theory to solve the parallel dollar exchange pricing problem in the Iraqi Central Bank of which underlying prices can be described by standard Geometric Brownian Motion. This paper discusses the Black-Scholes Process as a model of drift and diffusion parameters. Moreover, the application of the ordinary Black-Scholes, delay in drift term delay in diffusion term, and delay in both of drift and diffusion terms delay stochastic differential equations. I figured out that the SDDE can model the Iraqi exchange prices in a more explained and analytical way. |
|---|---|
| ISSN: |
1816-9171 |
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