A modified Black-Scholes pricing formula for European options with bounded underlying prices (Q1732426)
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scientific article; zbMATH DE number 7041076
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | A modified Black-Scholes pricing formula for European options with bounded underlying prices |
scientific article; zbMATH DE number 7041076 |
Statements
A modified Black-Scholes pricing formula for European options with bounded underlying prices (English)
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25 March 2019
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truncated normal distribution
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upper and lower bounds
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closed-form
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empirical studies
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0.90669936
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0.88570225
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0.8809916
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