A Unified Method for Pricing Option on Diffusion Processes (Without Proofs)

This paper presents a unified method for closed-form pricing of European options on assets with diffusion prices, The method uses linear and nonlinear time and scale changes to reduce complex diffusion processes to known processes, thereby generating option pricing formulas for new diffusion processes and unifying existing results. Applications include: systematically modeling the effects on option prices of time-dependent variability in the underlying asset price, valuing futures options and options on assets showing maturity-related or seasonal volatility. valuing options on new non-constant elasticity-of-variance diffusion processes. and pricing generalized options