-Pelts-Tehranchi family [Carr and Pelts, Duality, Deltas, and Derivatives Pricing, 2015] and [Tehranchi, A Black-Scholes inequality …: applications and generalisations, Finance Stoch, 2020] that includes the Black-Scholes model as a particular case. We also study … finally provide some properties of the implied volatility smiles of Calls on Calls and lifted Calls on Calls in the Black …

The publication of the Black-Scholes formula in 1973 appeared for the first time to put the pricing of financial …’s uncertain future growth rate, the Black-Scholes model replaced this with the risk-free rate, which could be measured objectively …. Finally, the appropriate rate is not the risk-free rate, but the expected growth rate. We show how the Black-Scholes model and …

of time space fractional Black-Scholes model using the new Sumudu transform iterative method (NSTIM) with the aid of …

We overcome the key limitations of the Black-Scholes model. In doing so, we provide an explicit, simple price formula … for the European option that is identical to the classical Black-Scholes formula. Moreover, we do not need to know the …

the Black-Scholes model in order to establish the model with better results in terms of predicting the European call … are more or less similar across the market indices; however, the results of the Black-Scholes model are a bit closer to … the market prices than that of the regime-switching model across the two markets. Therefore, the Black-Scholes model …