Drawbacks and Limitations of Black-Scholes Model for Options Pricing

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Some Drawbacks of Black-scholes

To provide one motivation for the development of ARCH models (next handout), we briefly discuss here some difficulties associated with the Black Scholes formula, which is widely used to calculate the price of an option. For example, consider a European call option for a stock. This is the right to buy a specific number of shares of a specific stock on a specific date in the future, at a specifi...

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ژورنال

عنوان ژورنال: Journal of Financial Studies and Research

سال: 2018

ISSN: 2166-000X,2166-000X

DOI: 10.5171/2018.79814