A complete-market generalization of the Black-Scholes model

DOI10.1007/S10690-006-9021-XzbMATH Open1154.91481OpenAlexW2011747813MaRDI QIDQ853864FDOQ853864

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

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Mathematics Subject Classification ID

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

Cites Work

• The pricing of options and corporate liabilities
• A closed-form solution for options with stochastic volatility with applications to bond and currency options
• Title not available (Why is that?)
• Option pricing when underlying stock returns are discontinuous
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• Title not available (Why is that?)
• Exact solutions of a model for asset prices by K. Takaoka

Cited In (11)

• Generalisation of Black-Scholes model
• Black-Scholes model under subordination
• General Black-Scholes models accounting for increased market volatility from hedging strategies
• Call completeness implies completeness in the \(n\)-period model of a financial market
• A generalized option pricing model
• The instantaneous volatility and the implied volatility surface for a generalized Black-Scholes model
• Valuation of a repriceable executive stock option
• Improving the Design of Financial Products in a Multidimensional Black-Scholes Market
• Randomised mixture models for pricing kernels
• Title not available (Why is that?)
• On a generalized Cox-Ross-Rubinstein option market model

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