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Stochastic model for SET50 index and derivatives pricing |
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| รหัสดีโอไอ | |
| Title | Stochastic model for SET50 index and derivatives pricing |
| Creator | Thiti Suttaket |
| Contributor | Kittipat Wong, Sanae Rujivan |
| Publisher | Chulalongkorn University |
| Publication Year | 2553 |
| Keyword | Stochastic processes, Stock price indexes, กระบวนการสโตแคสติค, ดัชนีราคาหลักทรัพย์ |
| Abstract | We develop a model from the classic asset price model, geometric Brownian motion, for stock indices, and this model includes index reconstitution effect which is a normal characteristic for some stock indices. For example, SET50 Index revises its list every six months. Also, we derive closed-form solutions for no-arbitrage prices of SET50 Index futures and options. |
| URL Website | cuir.car.chula.ac.th |
