The Instantaneous Volatility and the Implied Volatility Surface for a Generalized Black–Scholes Model
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Bibliographic InfoArticle provided by Springer in its journal Asia-Pacific Financial Markets.
Volume (Year): 17 (2010)
Issue (Month): 4 (December)
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Web page: http://springerlink.metapress.com/link.asp?id=102851
Black–Scholes model; Option pricing; Local volatility model; Implied volatility;
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- Merton, Robert C., 1975.
"Option pricing when underlying stock returns are discontinuous,"
787-75., Massachusetts Institute of Technology (MIT), Sloan School of Management.
- Merton, Robert C., 1976. "Option pricing when underlying stock returns are discontinuous," Journal of Financial Economics, Elsevier, vol. 3(1-2), pages 125-144.
- Black, Fischer & Scholes, Myron S, 1973. "The Pricing of Options and Corporate Liabilities," Journal of Political Economy, University of Chicago Press, vol. 81(3), pages 637-54, May-June.
- Heston, Steven L, 1993. "A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options," Review of Financial Studies, Society for Financial Studies, vol. 6(2), pages 327-43.
- Koichiro Takaoka, 2004. "A Complete-Market Generalization of the Black-Scholes Model," Asia-Pacific Financial Markets, Springer, vol. 11(4), pages 431-444, December.
- D. Brigo & F. Mercurio, 2003. "Analytical pricing of the smile in a forward LIBOR market model," Quantitative Finance, Taylor & Francis Journals, vol. 3(1), pages 15-27.
- Cox, John C. & Ross, Stephen A., 1976. "The valuation of options for alternative stochastic processes," Journal of Financial Economics, Elsevier, vol. 3(1-2), pages 145-166.
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