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F. Black and M. Scholes, “The Pricing of Options and Corpo-rate Liabilities,” Journal of Political Economy, Vol. 81, No. 3, 1973, pp. 637-654. doi:10.1086/260062U

has been cited by the following article:

• TITLE: Option Pricing When Changes of the Underlying Asset Prices Are Restricted

  AUTHORS: George J Jiang, Guanzhong Pan, Lei Shi

  KEYWORDS: Option Pricing, Restrictions on Asset Price Changes, Numerical Illustration

  JOURNAL NAME: Journal of Mathematical Finance, Vol.1 No.2, August 25, 2011

  ABSTRACT: Exchanges often impose daily limits for asset price changes. These restrictions have a direct impact on the prices of options traded on these assets. In this paper, we derive closed-form solution of option pricing formula when there are restrictions on changes in underlying asset prices. Using numerical examples, we illustrate that very often the impact of such restrictions on option prices is substantial.