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...

This paper has two purposes. First, it integrates the results that are currently available by presenting a unified method for establishing explicit option pricing formulae. It also thereby demonstrates a common link that connects these results and simplifies their derivation. Second, it derives...