Black-Scholes goes hypergeometric
Claudio Albanese, Giuseppe Campolieti, Peter Carr and Alexander Lipton introduce a generalpricing formula that extends Black-Scholes and contains as particular cases most analyticallysolvable models in the literature, including the quadratic and the constant elasticity ofvariance models for European-style and barrier options. In addition, large families of newsolutions are found, containing as many as seven free parameters
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