A Modified Black-Scholes-Merton Model for Option Pricing

A Modified Black-Scholes-Merton Model for Option Pricing

Financial derivatives have grown in importance over the last 40 years with futures and options being actively traded on a daily basis throughout the world. The need to accurately price such financial instruments has, thus, also increased, which has given rise to several mathematical models among whi...

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Bibliographic Details
Main Authors: Paula Morales-Bañuelos, Nelson Muriel, Guillermo Fernández-Anaya
Format: Article
Language:English
Published: MDPI AG 2022-04-01
Series:Mathematics
Subjects:
Black–Scholes–Merton
conformable calculus
European options
derivatives pricing
Online Access:https://www.mdpi.com/2227-7390/10/9/1492

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