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A Complete-Market Generalization of the Black-Scholes Model

Authors:	Koichiro?Takaoka author-information" > author-information__contact u-icon-before" > mailto:takaoka@math.hit-u.ac.jp" title=" takaoka@math.hit-u.ac.jp" itemprop=" email" data-track=" click" data-track-action=" Email author" data-track-label=" " >Email author

Affiliation:	(1) Graduate School of Commerce and Management, Hitotsubashi University, Kunitachi-City, Tokyo 186-8601, Japan

Abstract:	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.

Keywords:	Black-Scholes model complete market models equilibrium price option pricing volatility
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