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An Improved Poisson Distribution and Its Application in Option Pricing
Current Issue
Volume 6, 2018
Issue 3 (September)
Pages: 15-23   |   Vol. 6, No. 3, September 2018   |   Follow on         
Paper in PDF Downloads: 52   Since Jul. 2, 2018 Views: 1088   Since Jul. 2, 2018
Authors
[1]
Samson Ogu-Egege, Research Fellow in the Department of Mathematics, Abia State University, Uturu, Nigeria.
[2]
Bright Okore Osu, Department of Mathematics, Michael Okpara University of Agriculture, Umudike, Nigeria.
[3]
Chigozie Chibuisi, Department of Insurance, University of Jos, Jos, Nigeria.
Abstract
This work, introduces an improve Poisson distribution function. This improved Poisson is equipped with some financial terms, which generate a model for determining the prices of a European call and put option for two period models. Some of its important statistical properties like the mean, variance are given. It was found that the problem of option for non-dividend paying stock can be approached using an improved Poisson distribution function equipped with some financial terms. In comparison it gives exactly the numerical results with the CRR binomial model using the numerical data. An empirical example is given in a concrete setting.
Keywords
Improved Poisson, Generalized Binomial Distribution, Option Pricing
Reference
[1]
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[2]
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[3]
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[4]
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[9]
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[10]
S. O. Egege, B. O. Osu and C. Chibuisii (2018) Anon –uniform bound approximation of Polyavia Poisson, using Stein’s –Chen method and ω-function and its application in option pricing, international journal of mathematics and statistics invention vol 6. issue 3 pp 09-20.
[11]
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[12]
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[13]
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