文章基本信息

标题：A modification term for Black-Scholes model based on discrepancy calibrated with real market data
本地全文：下载
作者：Xiaozheng Lin ; Meiqing Wang ; Choi-Hong Lai 等
期刊名称：Data Science in Finance and Economics
电子版ISSN：2769-2140
出版年度：2021
卷号：1
期号：4
页码：313-326
DOI：10.3934/DSFE.2021017
语种：English
出版社：AIMS Press
摘要：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.