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The modified Black-Scholes model via constant elasticity of variance for stock options valuation

S. O. Edeki · Enahoro Alfred Owoloko · Olabisi O. Ugbebor

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Stochastic processes and financial applications Financial Markets and Investment Strategies Financial Risk and Volatility Modeling

Abstract

In this paper, the classical Black-Scholes option pricing model is visited. We present a modified version of the Black-Scholes model via the application of the constant elasticity of variance model (CEVM); in this case, the volatility of the stock price is shown to be a non-constant function unlike the assumption of the classical Black-Scholes model.

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References

1973The Pricing of Options and Corporate Liabilities 1976The valuation of options for alternative stochastic processes 1974A Comparison of the Stable and Student Distributions as Statistical Models for Stock Prices 2006Fractional Diffusion Models of Option Prices in Markets With Jumps 1980The Constant Elasticity of Variance Model and Its Implications For Option Pricing 1980Tests of the Black-Scholes and Cox Call Option Valuation Models 1990Pricing Warrants: An Empirical Study of the Black-Scholes Model and Its Alternatives 2002A Note on Option Pricing for the Constant Elasticity of Variance Model

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