Pricing of European Options under BS-BHM-Updated Model and Its Properties.

A European call option price formula under the BS-BHM-Updated model is studied in this paper. BS-BHMUpdated model is a BS-BHM model improved in applying Gaussian integral. The formula of European call and put options price is given in this paper too. Greeks and a good property of put-call parity for the formula of European call option price are found. In this paper are also given the numerical results of European call option price and the put-call parity relationship. Numerical results of European call option price under BS-BHM-Updated model, Black Scholes model, and BS-BHM model are presented. [ABSTRACT FROM AUTHOR]