The modification of Black-Scholes option pricing model

zbMATH Open1174.91425MaRDI QIDQ3614239FDOQ3614239

Authors: Xiaolei Li 

Publication date: 6 March 2009

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zbMATH Keywords

Black-Scholes modeltransaction costnon-arbitrage principle

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20)

Cited In (8)

• A new method of option pricing based on Black-Scholes model
• Modification terms to the Black–Scholes model in a realistic hedging strategy with discrete temporal steps
• A modified Black-Scholes pricing formula for European options with bounded underlying prices
• The valuation of Black-Scholes model with continuous dividend payments
• LIMITATIONS AND MODIFICATIONS OF BLACK-SCHOLES MODEL
• Programme packages for implementation of modifications of Black-Scholes model and web applications
• HS300 stock index option pricing with transaction costs and Poisson process
• Binary option pricing model with transaction costs and the payment of dividend

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