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- W4205123351 abstract "<abstract><p>The Black-Scholes option pricing model (B-S model) generally requires the assumption that the volatility of the underlying asset be a piecewise constant. However, empirical analysis shows that there are discrepancies between the option prices obtained from the B-S model and the market prices. Most current modifications to the B-S model rely on modelling the implied volatility or interest rate. In contrast to the existing modifications to the Black-Scholes model, this paper proposes the concept of including a modification term to the B-S model itself. Using the actual discrepancies of the results of the Black-Scholes model and the market prices, the modification term related to the implied volatility is derived. Experimental results show that the modified model produces a better option pricing results when compare to market data.</p></abstract>" @default.
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- W4205123351 date "2021-01-01" @default.
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- W4205123351 title "A modification term for Black-Scholes model based on discrepancy calibrated with real market data" @default.
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- W4205123351 doi "https://doi.org/10.3934/dsfe.2021017" @default.
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