A note on a generalized Black-Scholes formula

A 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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Year of publication:	2002-03-20
Authors:	Ergashev, Bakhodir A
Institutions:	EconWPA
Subject:	Black_Scholes formula \| Option pricing \| Ornstein-Uhlenbeck processes

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Extent:	application/pdf
Series:	Finance.
Type of publication:	Book / Working Paper
Notes:	Type of Document - none; prepared on IBM PC - PC-TEX; to print on HP/PostScript/Franciscan monk; pages: 5 ; figures: none. We never published this piece and now we would like to reduce our mailing and xerox cost by posting it. 5 pages
Classification:	G12 - Asset Pricing ; G13 - Contingent Pricing; Futures Pricing
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005134905