Modification terms to the Black–Scholes model in a realistic hedging strategy with discrete temporal steps
Author:
Affiliation:
1. Department of Mathematical Sciences, University of Greenwich, London, UK
Publisher
Informa UK Limited
Subject
Applied Mathematics,Computational Theory and Mathematics,Computer Science Applications
Link
https://www.tandfonline.com/doi/pdf/10.1080/00207160.2018.1542135
Reference10 articles.
1. Numerical Methods for Evolutionary Differential Equations
2. The Pricing of Options and Corporate Liabilities
3. A distributed algorithm for European options with nonlinear volatility
Cited by 3 articles. 订阅此论文施引文献 订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献
1. Asymptotic Convergence Analysis and Error Estimate for Black-Scholes Model of Option Pricing;Mathematical Problems in Engineering;2022-03-27
2. Modification terms to the Black-Scholes model based on the functional volatility model;2021 20th International Symposium on Distributed Computing and Applications for Business Engineering and Science (DCABES);2021-12
3. A modification term for Black-Scholes model based on discrepancy calibrated with real market data;Data Science in Finance and Economics;2021
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