Publication: Black-Scholes goes hypergeometric

All || By Area || By Year

Title	Black-Scholes goes hypergeometric
Authors/Editors*	C. Albanese, G. Campolieti. P. Carr, A. Lipton
Where published*	Risk
How published*	Journal
Year*	2001
Volume	-1
Number	-1
Pages	99-103
Publisher
Keywords
Link
Abstract	We introduce a general pricing formula that extends Black-Scholes and contains as particular cases most analytically solvable models in the literature, including the quadratic and the constant elasticity of variance models for European-style and barrier options. In addition, large families of new solutions are found, containing as many as seven free parameters.