An interval version of Black–Scholes European option pricing model and its numerical solution
The Black–Scholes model, a powerful tool for valuation of equity options specially European equity options, is based on assumptions that are violated in some situations due to market realities. One of these cases is the instability of risk-free interest rates and the volatility of stock prices in th...
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| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
| Published: |
Elsevier
2025-08-01
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| Series: | Results in Applied Mathematics |
| Subjects: | |
| Online Access: | http://www.sciencedirect.com/science/article/pii/S2590037425000767 |
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