The instantaneous volatility and the implied volatility surface for a generalized Black-Scholes model
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Publication:607574
DOI10.1007/S10690-009-9112-6zbMath1201.91239OpenAlexW2086439035MaRDI QIDQ607574
Hidenori Futami, Takaki Koichiro Takaoka
Publication date: 22 November 2010
Published in: Asia-Pacific Financial Markets (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s10690-009-9112-6
Financial applications of other theories (91G80) Derivative securities (option pricing, hedging, etc.) (91G20)
Related Items (1)
Cites Work
- The Pricing of Options and Corporate Liabilities
- A complete-market generalization of the Black-Scholes model
- Exact solutions of a model for asset prices by K. Takaoka
- Option Pricing With V. G. Martingale Components1
- A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
- Option pricing when underlying stock returns are discontinuous
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