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- W2773600529 abstract "In this paper, a modified Black–Scholes (B–S) model is proposed, based on a revised assumption that the range of the underlying price varies within a finite zone, rather than being allowed to vary in a semi-infinite zone as presented in the classical B–S theory. This is motivated by the fact that the underlying price of any option can never reach infinity in reality; a trader may use our new formula to adjust the option price that he/she is willing to long or short. To develop this modified option pricing formula, we assume that a trader has a view on the realistic price range of a particular asset and the log-returns follow a truncated normal distribution within this price range. After a closed-form pricing formula for European call options has been successfully derived, some numerical experiments are conducted. To further demonstrate the meaning of the proposed model, empirical studies are carried out to compare the pricing performance of our model and that of the B–S model with real market data." @default.
- W2773600529 created "2017-12-22" @default.
- W2773600529 creator A5022938926 @default.
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- W2773600529 date "2018-03-01" @default.
- W2773600529 modified "2023-10-12" @default.
- W2773600529 title "A modified Black–Scholes pricing formula for European options with bounded underlying prices" @default.
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- W2773600529 doi "https://doi.org/10.1016/j.camwa.2017.11.023" @default.
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