Zühlsdorff, Christian - University of Bonn, Germany - 2002
Black-Scholes formula for pricing the call option. The asset's volatility is a linear function of the asset value and the … solved for level-dependent volatility which is a quadratic polynomial. If zero is attainable, both absorption and negative … for an asset whose volatiliy is affine, the formula for the Bachelier model with constant volatility, and new formulae in …