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The Instantaneous Volatility and the Implied Volatility Surface for a Generalized Black–Scholes Model

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  • Koichiro Takaoka
  • Hidenori Futami

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  • Koichiro Takaoka & Hidenori Futami, 2010. "The Instantaneous Volatility and the Implied Volatility Surface for a Generalized Black–Scholes Model," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 17(4), pages 391-436, December.
    • Handle: RePEc:kap:apfinm:v:17:y:2010:i:4:p:391-436
    DOI: 10.1007/s10690-009-9112-6
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    References listed on IDEAS

    as
    1. Koichiro Takaoka, 2004. "A Complete-Market Generalization of the Black-Scholes Model," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 11(4), pages 431-444, December.
    2. Merton, Robert C., 1976. "Option pricing when underlying stock returns are discontinuous," Journal of Financial Economics, Elsevier, vol. 3(1-2), pages 125-144.
    3. Heston, Steven L, 1993. "A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options," The Review of Financial Studies, Society for Financial Studies, vol. 6(2), pages 327-343.
    4. 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.
    5. Long, John Jr., 1990. "The numeraire portfolio," Journal of Financial Economics, Elsevier, vol. 26(1), pages 29-69, July.
    6. 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 637-654, May-June.
    7. 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.
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    Cited by:

    1. Andrea Macrina & Priyanka Parbhoo, 2014. "Randomised Mixture Models for Pricing Kernels," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 21(4), pages 281-315, November.

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