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Sponsored AI Networking Cookbook: Practical recipes for AI-assisted network automation and development AI Networking Cookbook: Practical recipes for AI-assisted network automation and development

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B. Stádník

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Open access Sep 2026

Why does the Black-Scholes formula not work for historical volatility or expected drift?

The Black-Scholes (B&S) formula often fails to match market valuations of European-style options when using historical (expected) volatility. This conclusion is based on a large body of empirical evidence. We consider that the presumption of Geometric Brownian Motion, which is used for the description of the price deve...

B. Stádník, Algita Miečinskienė · 0 citations

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