{"title":"Black-Scholes formulas without the normality assumption: Applications to stochastic volatility and stochastic interest rate","authors":"Moawia Alghalith","doi":"10.2139/ssrn.3918488","DOIUrl":null,"url":null,"abstract":"We provide explicit, simple price formulas for the European options under stochastic volatility and stochastic interest rate. The formulas are as simple as the classical Black-Scholes formula. Moreover, the formulas do not require the normality of the returns. We do not need to know the distribution of the returns/price.","PeriodicalId":209192,"journal":{"name":"ERN: Asset Pricing Models (Topic)","volume":null,"pages":null},"PeriodicalIF":0.0000,"publicationDate":"2021-09-06","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":null,"platform":"Semanticscholar","paperid":null,"PeriodicalName":"ERN: Asset Pricing Models (Topic)","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.2139/ssrn.3918488","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"","JCRName":"","Score":null,"Total":0}
引用次数: 0
Abstract
We provide explicit, simple price formulas for the European options under stochastic volatility and stochastic interest rate. The formulas are as simple as the classical Black-Scholes formula. Moreover, the formulas do not require the normality of the returns. We do not need to know the distribution of the returns/price.