search query: @indexterm OPTION PRICES / total: 70
reference: 70 / 70
« previous | next »
| Author: | Goldenberg, D. H. |
| Title: | A unified method for pricing options on diffusion processes. |
| Journal: | Journal of Financial Economics
1991 : MAR, VOL. 29:1, p. 3-34 |
| Index terms: | OPTION PRICES SHARE PRICE VOLATILITY FUTURES MARKETS EUROPE |
| Language: | eng |
| Abstract: | A unified method for closed-form pricing of European options on assets with diffusion prices is presented. It uses linear and nonlinear time and scale changes to reduce complex diffusion processes to known processes, thereby generating option pricing formulas for new diffusion processes and unifying existing results. It systematically models the effects on option prices of time-dependent variability in the underlying asset price, values futures options and options assets, values options on new nonconstant elasticity-of-variance diffusion processes, and prices generalized options. |
« previous | next »
SCIMA