A Complete-Market Generalization of the Black-Scholes Model
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The author proposes a new single-stock generalization of the Black-Scholes model. The stock price process is Markovian, the volatility is time-varying, and the market is complete. We also consider the option pricing based on our model and a connection with the equilibrium theory.
Key wordsBlack-Scholes model complete market models equilibrium price option pricing volatility
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