The Black-Scholes type financial models and the arbitrage opportunities
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| 作者: | |
|---|---|
| 格式: | artículo original |
| 狀態: | Versión publicada |
| Fecha de Publicación: | 2007 |
| 實物特徵: | 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 |
| 機構: | Universidad de Costa Rica |
| Repositorio: | Portal de Revistas UCR |
| 語言: | Español |
| OAI Identifier: | oai:portal.ucr.ac.cr:article/277 |
| 在線閱讀: | 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 |