El-Khatib, Youssef; Hatemi-J, Abdulnasser - Volkswirtschaftliche Fakultät, … - 2013
Option pricing is an integral part of modern financial risk management. The well-known Black and Scholes (1973) formula is commonly used for this purpose. This paper is an attempt to extend their work to a situation in which the unconditional volatility of the original asset is increasing during...