The Black-Scholes type financial models and the arbitrage opportunities

 

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Bibliografske podrobnosti
Avtor: Sukhomlin, Nikolay
Format: artículo original
Status:Versión publicada
Fecha de Publicación:2007
Opis:By using the conservation laws concept, we study certain financial models similar to the Black–Scholes model. We show that without complement limitations such models can have two or more volatilities. This fact imposes several intrinsic limitations for the dynamical system parameters in order to guarantee the correct definition.
País:Portal de Revistas UCR
Institucija:Universidad de Costa Rica
Repositorio:Portal de Revistas UCR
Jezik:Español
OAI Identifier:oai:portal.ucr.ac.cr:article/277
Online dostop:https://revistas.ucr.ac.cr/index.php/matematica/article/view/277
Ključna beseda:Black–Scholes model
volatility
laws of conservation
Modelo de Black–Scholes
volatilidad
leyes de conservación