Baaquie, Belal E.; Du, Xin; Bhanap, Jitendra - In: Physica A: Statistical Mechanics and its Applications 416 (2014) C, pp. 564-581
The industry standard Black–Scholes option pricing formula is based on the current value of the underlying security and other fixed parameters of the model. The Black–Scholes formula, with a fixed volatility, cannot match the market’s option price; instead, it has come to be used as a...