| Autor: |
Xiaozheng Lin, Meiqing Wang, Choi-Hong Lai |
| Jazyk: |
angličtina |
| Rok vydání: |
2021 |
| Předmět: |
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| Zdroj: |
Data Science in Finance and Economics, Vol 1, Iss 4, Pp 313-326 (2021) |
| Druh dokumentu: |
article |
| ISSN: |
2769-2140 |
| DOI: |
10.3934/DSFE.2021017?viewType=HTML |
| Popis: |
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. |
| Databáze: |
Directory of Open Access Journals |
| Externí odkaz: |
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