A complete-market generalization of the Black-Scholes model

DOI10.1007/s10690-006-9021-xzbMath1154.91481OpenAlexW2011747813MaRDI QIDQ853864

Koichiro Takaoka

Publication date: 17 November 2006

Published in: Asia-Pacific Financial Markets (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10690-006-9021-x

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (3)

Randomised mixture models for pricing kernels ⋮ The instantaneous volatility and the implied volatility surface for a generalized Black-Scholes model ⋮ Valuation of a repriceable executive stock option

Cites Work

• The Pricing of Options and Corporate Liabilities
• Exact solutions of a model for asset prices by K. Takaoka
• A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
• Option pricing when underlying stock returns are discontinuous
• Unnamed Item
• Unnamed Item
• Unnamed Item

This page was built for publication: A complete-market generalization of the Black-Scholes model