دانشگاه علامه طباطبایی

  اخبار و اعلانات

 آمار

تعداد نشریات61
تعداد شماره‌ها2,201
تعداد مقالات17,941
تعداد مشاهده مقاله55,022,461
تعداد دریافت فایل اصل مقاله28,797,833
Firouzi, Kiarash, Jelodari Mamaghani, Mohammad. (1403). Some applications of log-ergodic processes: ergodic trading model and call option pricing using the irrational rotation. سامانه مدیریت نشریات علمی, 4(2), 159-180. doi: 10.22054/jmmf.2025.82657.1152
Kiarash Firouzi; Mohammad Jelodari Mamaghani. "Some applications of log-ergodic processes: ergodic trading model and call option pricing using the irrational rotation". سامانه مدیریت نشریات علمی, 4, 2, 1403, 159-180. doi: 10.22054/jmmf.2025.82657.1152
Firouzi, Kiarash, Jelodari Mamaghani, Mohammad. (1403). 'Some applications of log-ergodic processes: ergodic trading model and call option pricing using the irrational rotation', سامانه مدیریت نشریات علمی, 4(2), pp. 159-180. doi: 10.22054/jmmf.2025.82657.1152
Firouzi, Kiarash, Jelodari Mamaghani, Mohammad. Some applications of log-ergodic processes: ergodic trading model and call option pricing using the irrational rotation. سامانه مدیریت نشریات علمی, 1403; 4(2): 159-180. doi: 10.22054/jmmf.2025.82657.1152

Some applications of log-ergodic processes: ergodic trading model and call option pricing using the irrational rotation

Journal of Mathematics and Modeling in Finance
دوره 4، شماره 2، اسفند 2024، صفحه 159-180    اصل مقاله (320.8 K)
نوع مقاله: Research Article
شناسه دیجیتال (DOI): 10.22054/jmmf.2025.82657.1152
نویسندگان
Kiarash Firouzi* 1؛ Mohammad Jelodari Mamaghani2
1Allameh Tabataba'i University, Tehran, Iran
2Faculty : Faculty of Statistics, Mathematics and Computer
چکیده
Due to the increasing popularity of futures trading among financial markets participants, the risk management of futures trading is of particular importance. In this paper, we study a futures trading strategy consisting of a long and a short positions by using the mean reversion property of positive log-ergodic financial processes. We introduce a model for estimating the ideal time for leaving a trading position on a stock. Also, using ergodic theorems, we investigate the European call option pricing problem using an stochastic irrational rotation on the unit circle. By means of the properties of log-ergodic processes, we use the time average of the stochastic process of risky assets instead of expectation in our calculations. Our findings indicate that the proposed model improves the accuracy of predicting optimal trading times and enhances the computational efficiency of option pricing.
کلیدواژه‌ها
Call option؛ Futures trading؛ Irrational rotation؛ Log-ergodic process؛ Partially ergodic process
مراجع
[1] M. Viana , K. Oliveira, Foundations of ergodic theory, No. 151, Cambridge University
Press, 2016.
[2] T. Bjork ¨ , Arbitrage theory in continuous time, Oxford University Press, 2019.
[3] J. Feldvoss, Logarithms of Integers are Irrational, Manuscript, retrieved from http://www.
southalabama.edu/mathstat/personalpages/feldvoss/logintirrat, 2008
[4] Y. V. Nesterenko, Lindemann–Weierstrass Theorem, Moscow University Mathematics Bulletin, Springer, 76, 6 (2021), pp. 239-243.
[5] D. Cheraghi , T. Kuna , Mathematics of Planet Earth: A Primer, Dynamical Systems,
World Scientific (2018), pp. 225-284.
[6] U. Schaede, Forwards and futures in Tokugawa-period Japan: a new perspective on the
D¯ojima rice market, Journal of banking & finance, No. 13 Elsevier (1989), pp. 487-513.
[7] M. Jahan , H. Md , J. Md , others, DERIVATIVES FOR CAPITAL MARKET EFFICIENCY, R&D Wing, MIST, (2010).
[8] P. Kaur , J. Singh, Evolution of Exchange Traded Funds (ETFs)-Comparison US and
Indian Bourses., Amity Business Review, (2017), 18.
[9] C. Stoltenberg , B. C. George , K. A. Lacey , M. Cuthbert , The Past Decade of
Regulatory Change in the US and EU Capital Market Regimes: An Evolution from National
Interests toward International Harmonization with Emerging G-20 Leadership, Berkeley J.
Int’l L, HeinOnline, 29 (2011), pp. 577.
[10] C. Zaloom, The productive life of risk, Cultural Anthropology, Wiley Online Library, 19
(2004), pp. 365-391.
[11] J. Wang, T. Sun , B. Liu , Y. Cao , D. Wang, 17th IEEE International Conference on
Machine Learning and Applications (ICMLA), IEEE, (2018), pp. 97-104.
[12] H. Hong, A model of returns and trading in futures markets, The Journal of Finance, Wiley
Online Library, 55 (2000) , pp. 959-988.
[13] B. Do, R. Faff and K. Hamza, A new approach to modeling and estimation for pairs
trading, Proceedings of financial management association European conference, 1 (2006), pp.
87-99.
[14] A. Ananova , R. Cont , R. Xu, Model-free Analysis of Dynamic Trading Strategies, arXiv
preprint arXiv:2011.02870, 2023.
[15] A. Avila, D. Dolgopyat , E. Duryev , O. Sarig, The visits to zero of a random walk
driven by an irrational rotation, Israel Journal of Mathematics, Springer , 207 (2015), pp.
653-717.
[16] K. Firouzi , M. J. Mamaghani, Log-ergodicity: A New Concept for Modeling Financial
Markets, Statistics Optimization & Information Computing , IAPress , https://doi.org/10.
19139/soic-2310-5070-2049 (2024).

آمار
تعداد مشاهده مقاله: 734
تعداد دریافت فایل اصل مقاله: 317


login