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- W3200501231 abstract "Fischer Black and Myron Scholes (1973) assumed asset prices follow lognormal distributions and derived the famous Black–Scholes option pricing formula. The lognormal assumption implies the asset price will never be negative and has zero as its lower bound. By relaxing the negative and zero bound, we derive a Black–Scholes-like option pricing formula for asset prices following a shifted lognormal distribution with a lower bound. The formula can be applied to price options with negative prices and negative strikes." @default.
- W3200501231 created "2021-09-27" @default.
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- W3200501231 date "2020-01-01" @default.
- W3200501231 modified "2023-09-27" @default.
- W3200501231 title "Option Pricing with Shifted Lognormal Model for Negative Oil Prices" @default.
- W3200501231 hasPublicationYear "2020" @default.
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