ESG Financial Market with Informed Traders within the Bachelier–Black–Scholes–Merton Model-Journal of Sustainability Research-CSCIED科技核心评价数据库-手机版

ESG Financial Market with Informed Traders within the Bachelier–Black–Scholes–Merton Model

ESG Financial Market with Informed Traders within the Bachelier–Black–Scholes–Merton Model

ES评分 0 浏览量：305 下载量：0

DOI	10.20900/jsr20250022
刊名	Journal of Sustainability Research JSR
年，卷(期)	2025, 7(2)
作者	Nancy Asare Nyarko*,Bhathiya Divelgama,Peter Yegon,W. Brent Lindquist,Abootaleb Shirvani,Svetlozar T. Rachev,Frank J. Fabozzi,
作者单位	Department of Mathematics & Statistics, Texas Tech University, Lubbock, TX 79409, USA ; Department of Mathematical Science, Kean University, Union, NJ 07083, USA ; Carey Business School, Johns Hopkins University, Baltimore, MD 21202, USA ;
Abstract	This study seeks to advance the theory of dynamic asset pricing byintroducing asset valuation, adjusted by environmental, social andgovernance (ESG) ratings, within a unified Bachelier–Black–Scholes–Mertonmarket model, and developing option valuation in both continuous-timeand discrete-time (binomial pricing tree) frameworks. An empirical studybased on call option prices for assets selected from the Nasdaq-100 developsimplied values for the main ESG parameter in the pricing model. For thesestocks, option traders have in-the-money ESG valuations that are lowerthan the spot price. Within the discrete-time framework, we demonstratehow an informed trader can adopt a futures trading strategy to optimize aneffective dividend stream.
KeyWord	ESG finance; Bachelier’s model; Black–Scholes–Merton model; option prices; binomial pricing trees
基金项目
页码	-

参考文献
相关文献

1.Bachelier L. Théorie de la spéculation
[Theory of speculation]. Ann Sci Ecole Norm S. 1900;3(17):21-86. French.

2.Black F, Scholes M. The pricing of options and corporate liabilities. J Political Econ. 1973;81(3):637-54.

3.Merton R. Theory of rational option pricing. Bell J Econ Manage Sci. 1973;4:141-83.

4.Rachev ST, Asare Nyarko N, Omotade B, Yegon P. Bachelier’s market model for ESG asset pricing. J Risk Financ Manag. 2024;17(12):553.

5.Lindquist WB, Rachev ST, Gnawali J, Fabozzi FJ. Dynamic asset pricing in a unified Bachelier–Black–Scholes–Merton model. Risks. 2024;12:375.

6.Del Mar Miralles-Quiros M, Miralles-Quiros JL, Guia Arraiano I. Sustainable development, sustainability leadership and firm valuation: Differences across Europe. Bus Strateg Environ. 2017;26(7):1014-28.

7.Fulton M, Kahn B, Sharples C. Sustainable investing: Establishing long-term value and performance. Available from: http://dx.doi.org/10.2139/ssrn.2222740. Accessed on 10 Apr 2025.

8.Hu Y, Shirvani A, Stoyanov SV, Kim YS, Fabozzi FJ, Rachev ST. Option pricing in markets with informed traders. Int J Theor Appl Fin. 2020;23(06):2050037.

9.Asare Nyarko N, Divelgama B, Gnawali J, Omotade B, Rachev ST, Yegon P. Exploring Dynamic Asset Pricing within Bachelier’s Market Model. J Risk Financ Manag. 2023;16(8):352.

10.Osborne M. Brownian motion in the stock market. Oper Res. 1959;7:145-73.

11.Alexander SS. Price movements in speculative markets: Trends or random walks. Ind Manag Rev. 1961;2:7-26.

12.Alexander SS. Price movements in speculative markets: Trends of random walks, Number 2. Ind Manag Rev. 1964;5:25-46.

13.Cootner P. The Random Character of Stock Market Prices. Cambridge (US): MIT Press; 1964.

14.Fama E. The behavior of stock market prices. J Bus. 1965;38:34-105.

15.Fama E. Efficient capital markets: A review of theory and empirical work. J Financ. 1970;25:383-417.

16.Fama E. Efficient Capital Markets: II. J Financ. 1991;46:1575-617.

17.Fama E. Random walks in stock market prices. Financ Anal J. 1995;51:75-80.

18.Jensen M. Some anomalous evidence regarding market efficiency. J Financ Econ. 1978;6(2/3):95-101.

19.Abu-Mostafa Y, Atiya A. Introduction to financial forecasting. Appl Intell. 1996;6:205-13.

20.Leung M, Daouk H, Chen AS. Forecasting stock indices: A comparison of classification and level estimation models. Int J Forecasting. 2000;16:173-90.

21.Malkiel B. The Efficient Market Hypothesis and its critics. J Econ Perspect. 2003;17:59-82.

22.Shiller RJ. From efficient markets theory to behavioral finance. J Econ Perspect. 2003;17:83-104.

23.Chung J, Hong Y. Are the directions of stock price changes predictable? A generalized cross-spectral approach. Available from: https://ideas.repec.org/p/ecm/nawm04/469.html. Accessed on 10 Apr 2025.

24.Campbell J, Thomson S. Predicting the equity premium out of sample: Can anything beat the historical average? Rev Financ Stud. 2008;21:1509-31.

25.Ang A, GoetzmannW, Schaefer S. The Efficient Market Theory and evidence: Implications for active investment management. Found Trends Finance. 2010;5(3):157-242.

26.Cervelló-Royo R, Guijarro F, Michniuk K. Stock market trading rule based on pattern recognition and technical analysis: Forecasting the DJIA index with intraday data. Expert Syst Appl. 2015;42:5963-75.

27.Naseer M, Yasir T. The efficient market hypothesis: A critical review of the literature. IUP J Financ Risk Manag. 2014;12:48-63.

28.Qiu M, Song Y. Predicting the direction of stock market index movement using an optimized artificial neural network model. PLoS One. 2016;11(5):e0155133.

29.Chong E, Chulwoo H, Frank C. Deep learning networks for stock market analysis and prediction: Methodology, data representations, and case studies. Expert Syst Appl. 2017;83:187-205.

30.Rubén A, García J, Guijarro F, Peris A. A dynamic trading rule based on filtered flag pattern recognition for stock market price forecasting. Expert Syst Appl. 2017;81:177-92.

31.Zhong X, Enke D. Forecasting daily stock market return using dimensionality reduction. Expert Syst Appl. 2017;67:126-39.

32.Zhong X, Enke D. Predicting the daily return direction of the stock market using hybrid machine learning algorithms. Financ Innov. 2019;5(1):1-20.

33.Shah D, Isah H, Zulkernine F. Stock market analysis: A review and taxonomy of prediction techniques. Int J Financ Stud. 2019;7:26.

34.Chakravarty S, Gulen H, Mayhew S. Informed trading in stock and option markets. J Financ. 2004;59(3):1235-57.

35.Collin-Dufresne P, Fos V, Muravyev D. Informed trading in the stock market and option-price discovery. J Financ Quant Anal. 2021;56(6):1945-84.

36.Turkington J, Walsh D. Informed traders and their market preference: Empirical evidence from prices and volumes of options and stock. Pacific-Basin Financ J. 2000;8(5):559-85.

37.Billingsley P. Probability and Measure. 3rd ed. New York (US): Wiley; 1995.

38.Duffie D. Dynamic Asset Pricing Theory. 3rd ed. Princeton (US): Princeton University Press; 2001.

39.Yahoo Finance. Available from: https://finance.yahoo.com/. Accessed on 10 Apr 2025.

40.Slickcharts. Available from: https://www.slickcharts.com/nasdaq100. Accessed on 10 Apr 2025.

41.U.S. Department of the Treasury. Available from: https://home.treasury.gov/resource-center/data-chart-center/interest-rates/TextView?type=daily_treasury_yield_curve&field_tdr_date_value=2024. Accessed on 10 Apr 2025.

42.Robinson D. Entropy and uncertainty. Entropy. 2008;10:493-506.

43.Rioul O. This is IT: A primer on Shannon’s entropy and information. In: Duplantier B, Rivasseau V, editors. Information Theory. Cham (Switzerland): Birkhäuser; 2018. p. 49-86.

引用本文

Nancy Asare Nyarko*,Bhathiya Divelgama,Peter Yegon,W. Brent Lindquist,Abootaleb Shirvani,Svetlozar T. Rachev,Frank J. Fabozzi. ESG Financial Market with Informed Traders within the Bachelier–Black–Scholes–Merton Model, Journal of Sustainability Research. 2025; 7; (2). https://doi.org/10.20900/jsr20250022.

文献评论

相关学者

相关机构