The Black-Scholes type financial models and the arbitrage opportunities

 

Guardado en:
Bibliografiske detaljer
Forfatter: Sukhomlin, Nikolay
Format: artículo original
Status:Versión publicada
Fecha de Publicación:2007
Beskrivelse: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
Institution:Universidad de Costa Rica
Repositorio:Portal de Revistas UCR
Sprog:Español
OAI Identifier:oai:portal.ucr.ac.cr:article/277
Online adgang:https://revistas.ucr.ac.cr/index.php/matematica/article/view/277
Palabra clave:Black–Scholes model
volatility
laws of conservation
Modelo de Black–Scholes
volatilidad
leyes de conservación