Edeki, S.O. and Owoloko, E. A. and Ugbebor, Olabisi O. (2016) The Modified Black-Scholes Model via Constant Elasticity of Variance for Stock Options Valuation. In: AIP Conference Proceedings, 2016.
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Abstract
In this paper, the classical Black-Scholes option pricing model is visited. We present a modified version of the Black-Scholes model via the application of the constant elasticity of variance model (CEVM); in this case, the volatility of the stock price is shown to be a non-constant function unlike the assumption of the classical Black-Scholes model.
| Item Type: | Conference or Workshop Item (Paper) |
|---|---|
| Subjects: | Q Science > QA Mathematics |
| Divisions: | Faculty of Engineering, Science and Mathematics > School of Mathematics |
| Depositing User: | Mrs Patricia Nwokealisi |
| Date Deposited: | 30 Aug 2017 12:18 |
| Last Modified: | 30 Aug 2017 12:18 |
| URI: | http://eprints.covenantuniversity.edu.ng/id/eprint/9004 |
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