Anlong Li

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Assuming that the underlying local volatility is a function of stock price and time, we develop an approach for generating closed form solutions for option values for a certain class of volatility functions. The class is the set of volatility functions which solve the same partial differential equation as derivative security values in the Black Scholes(More)
and Lucille Mayne for helpful comments and suggest ions. Working papers of the Federal Reserve Bank of Cleveland are preliminary materials circulated to stimulate discussion and critical comment. The views stated herein are those of the authors and not necessarily those of the Federal Reserve Bank of Cleveland Most models of deposit insurance assume that(More)
Thomson is an assistant vice president and economist at the Federal Reserve Bank of Cleveland. The authors would like to thank Sarah Kendall and participants at the October 1992 Financial Management Association meetings for helpful comments and suggestions. Working papers of the Federal Reserve Bank of Cleveland are preliminary materials circulated to(More)
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