A note on a generalized Black-Scholes formula
AbstractA generalized Black-Scholes formula is presented for the case when the volatility part of the percentage changes in a stock price obeys a mean reverting Ornstein-Uhlenbeck process. When the parameter of the Ornstein-Uhlenbeck process converges to zero the generalized formula converges to the Black-Scholes formula.
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Bibliographic InfoPaper provided by EconWPA in its series Finance with number 0203006.
Length: 5 pages
Date of creation: 20 Mar 2002
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Black_Scholes formula; Option pricing; Ornstein-Uhlenbeck processes;
Find related papers by JEL classification:
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing
- G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
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