A modified Black-Scholes pricing formula for European options with bounded underlying prices

DOI10.1016/j.camwa.2017.11.023zbMath1409.91253OpenAlexW2773600529MaRDI QIDQ1732426

Song-Ping Zhu, Xin-Jiang He

Publication date: 25 March 2019

Published in: Computers \& Mathematics with Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.camwa.2017.11.023

zbMATH Keywords

upper and lower boundstruncated normal distributionclosed-formempirical studies

Mathematics Subject Classification ID

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

Uses Software

• ASA

Cites Work

• Unnamed Item
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