A generalized option pricing model

MaRDI QIDQ3597748zbMATH OpenFDO

Authors

Publication date 9 February 2009

zbMATH Keywords

Black Scholes modeleconophysicsfinancial marketsoption pricing modelstochastic processes

Mathematics Subject Classification ID

Applications of statistical and quantum mechanics to economics (econophysics) (91B80) Derivative securities (option pricing, hedging, etc.) (91G20) Financial applications of other theories (91G80)

Recommendations

• scientific article; zbMATH DE number 5504674
• A complete-market generalization of the Black-Scholes model
• A new method of option pricing based on Black-Scholes model
• Generalisation of Black-Scholes model
• LIMITATIONS AND MODIFICATIONS OF BLACK-SCHOLES MODEL

Cited in

(12)

• Generalization of an integral option
• On the option pricing for a generalization of the binomial model
• A generalization of option pricing to price-limit markets
• A general framework for hedging and speculating with options
• A non-Gaussian stock price model: options, credit and a multi-timescale memory
• Generalisation of Black-Scholes model
• On Black-Scholes option pricing model with stochastic volatility: an information theoretic approach
• LIMITATIONS AND MODIFICATIONS OF BLACK-SCHOLES MODEL
• General Arbitrage Pricing Model: III – Possibility Approach
• Generalized multinomial CRR option pricing model and its Black-Scholes type limit.
• On a generalized Cox-Ross-Rubinstein option market model
• A complete-market generalization of the Black-Scholes model

This page was built for publication: A generalized option pricing model

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q3597748)