European option pricing under a modified Black-Scholes model

zbMATH Open1265.91064MaRDI QIDQ4900874FDOQ4900874

Authors: Yudong Sun, Yimin Shi 

Publication date: 24 January 2013

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• scientific article; zbMATH DE number 5504674

zbMATH Keywords

option pricingBrownian motionEuropean optionmodified Black-Scholes model

Mathematics Subject Classification ID

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

Cited In (12)

• Barrier option pricing when parameters dependent on stock price
• A modified Black-Scholes pricing formula for European options with bounded underlying prices
• A new generalized European option pricing model and the properties
• Title not available (Why is that?)
• HOLDER-EXTENDIBLE EUROPEAN OPTION: CORRECTIONS AND EXTENSIONS
• New method to option pricing for the general Black-Scholes model -- an actuarial approach
• The estimation of European pricing options on dividend-paying stocks for Black-Scholes models with time-varying coefficients
• Sensitivity analysis of partial derivatives of an European option pricing model
• A Behavioural Approach to the Pricing of European Options
• European option under a skew version of the GBM model with transaction costs by an RBF method
• EUROPEAN OPTION PRICING WITH LIQUIDITY SHOCKS
• European option pricing formula in risk-aversive markets

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