The Black-Scholes type financial models and the arbitrage opportunities
Αποθηκεύτηκε σε:
| Συγγραφέας: | |
|---|---|
| Μορφή: | artículo original |
| Κατάσταση: | Versión publicada |
| Ημερομηνία έκδοσης: | 2007 |
| Περιγραφή: | 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. |
| Χώρα: | Portal de Revistas UCR |
| Ίδρυμα: | Universidad de Costa Rica |
| Repositorio: | Portal de Revistas UCR |
| Γλώσσα: | Español |
| OAI Identifier: | oai:portal.ucr.ac.cr:article/277 |
| Διαθέσιμο Online: | https://revistas.ucr.ac.cr/index.php/matematica/article/view/277 |
| Λέξη-Κλειδί : | Black–Scholes model volatility laws of conservation Modelo de Black–Scholes volatilidad leyes de conservación |