Title: Expansion of Black-Scholes Option Pricing Model
Abstract: Based upon the hypothesis that the price of dynamic and risky assets complies with the processes of compound jump-diffusion,and riskless interest rate,stock yield rate,market volatility and dividends can be described with a self-adaptive process,the result of discounted portfolio is obtained,which is a martingale with the same measure of the martingale.Also obtained is a new corrected function of Black-Scholes European call option,which is well adapted to the real security market using stochastic differential equations and the measure of equivalent martingale under the condition of the existence of dealing fees and dividends.Moreover,the approach of martingale is extended,resulting with more meaningful and general applications.
Publication Year: 2010
Publication Date: 2010-01-01
Language: en
Type: article
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