A complete-market generalization of the Black-Scholes model

DOI10.1007/S10690-006-9021-XMaRDI QIDQ853864zbMATHOpenAlexFDO

Authors 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)

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Cites work

• scientific article; zbMATH DE number 3547015 (Why is no real title available?)
• scientific article; zbMATH DE number 1055921 (Why is no real title available?)
• scientific article; zbMATH DE number 1095739 (Why is no real title available?)
• A closed-form solution for options with stochastic volatility with applications to bond and currency options
• Exact solutions of a model for asset prices by K. Takaoka
• Option pricing when underlying stock returns are discontinuous
• The pricing of options and corporate liabilities

Cited in

(11)

• scientific article; zbMATH DE number 6402355 (Why is no real title available?)
• On a generalized Cox-Ross-Rubinstein option market model
• Randomised mixture models for pricing kernels
• A generalized option pricing model
• Call completeness implies completeness in the \(n\)-period model of a financial market
• The instantaneous volatility and the implied volatility surface for a generalized Black-Scholes model
• Generalisation of Black-Scholes model
• Improving the Design of Financial Products in a Multidimensional Black-Scholes Market
• Valuation of a repriceable executive stock option
• Black-Scholes model under subordination
• General Black-Scholes models accounting for increased market volatility from hedging strategies

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