Sharif Digital Repository

In the past decades, option pricing has become one of the major areas in modern financial theory and practice. The Black-Scholes-Merton method is a type of option pricing, which is an appropriate and very important model in financial markets due to the pricing process under the assumption of no arbitrage and the recognition of the appropriate discount rate.Inspite of its advantages, this model is not appropriate for pricing the options which need to be investigated before the maturity.To overcome this limitation, some discrete extension of Black Scholes model were introduced such as binomial and trinomial trees.In all of these models during the contract period, volatility is considered... 

Since past time, market practitioners and speculators have attempted to use the existent market gaps and opportunities like arbitrage. While some investors buy stocks based on the available financial information of particular companies, others, by using different strategies, try to make profit out of it, based on true realization of the market and its behavior. This strategies will create the profitability by providing different situations including risk hedging and swing trading opportunities .In this context, researchers have designed various strategies for recognizing the assets that have high return potential. One of these strategies in trading with financial tools, is pair trading...