Forthcoming articles

 


International Journal of Financial Markets and Derivatives

 

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International Journal of Financial Markets and Derivatives (2 papers in press)

 

Regular Issues

 

  • Closed-form solution for the critical stock price and the price of perpetual American call options via the improved Mellin transforms   Order a copy of this article
    by Sunday Emmanuel Fadugba, Chuma Nwozo 
    Abstract: This paper presents the closed-form solution for the critical stock price also known as the free boundary and the price of the perpetual American call options by means of the improved Mellin transforms. The expression for the price of the perpetual American call options with non-dividend yield is obtained as a steady-state solution to the non-homogeneous Black-Scholes partial differential equation for the American call options, rather than as a solution to the static problem. The result shows that the critical stock price for the American call option is infinite and the price of the option coincides with the underlying asset price. For better accuracy, we have shown that our integral representation for the price of the American call option can be evaluated by means of a N-point Gauss-Laguerre quadrature method. To determine the performance of the improved Mellin transforms, we have compared the results generated by the improved Mellin transforms with the binomial model and the Black-Scholes model for the valuation of the American call option with non-dividend yield. The numerical results show that the improved Mellin transforms agrees with the Black-Scholes model and performs better than the binomial model as shown in Figure 3 below.
    Keywords: American call option; Black-Scholes equation; Critical stock price; Gauss-Laguerre quadrature method; Improved Mellin transforms; Non-dividend yield; Perpetual American call option.

  • DYNAMICS OF RANDOMNESS AND EFFICIENCY IN THE INDIAN STOCK MARKETS   Order a copy of this article
    by Sujeesh Kumar, Nanda Mohan 
    Abstract: This paper analysed the behaviour of randomness and efficiency in the Indian stock markets in view of the Efficient Market Hypothesis (EMH) and Adaptive Market Hypothesis (AMH). We have examined the randomness in detail and found that there has been no uniformity or trend in randomness and therefore randomness is time varying. Evidence of inefficiency information asymmetries during the period of study (1990-2014). However, improvement in efficiencies has been observed during episodes of time, implying greater adaptability in the markets-BSE Sensex and NSE Nifty. Based on the Lyapunov exponent, indication of nonlinear deterministic chaos also found. The extent of randomness has been compared between both the markets using an entropy measure.
    Keywords: Randomness; Runs; Variance ratio; Market efficiency; Chaos; and Entropy.