Xi Wei
Abstract
This paper introduces a new modification to Black Scholes option pricing model for pricing biases correction by bringing gamma process into Brownian motion as the time change process.
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This paper introduces a new modification to Black Scholes option pricing model for pricing biases correction by bringing gamma process into Brownian motion as the time change process.
Key concepts: Black–Scholes model, Process (computing), Valuation of options, Economics, Computer science, Econometrics, Operating system, Volatility (finance)