A generalized option pricing model

zbMATH Open1153.91563MaRDI QIDQ3597748FDOQ3597748

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Publication date: 9 February 2009

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zbMATH Keywords

stochastic processeseconophysicsfinancial marketsoption pricing modelBlack Scholes model

Mathematics Subject Classification ID

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

Cited In (12)

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

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