Revista de Matemática: Teoría y Aplicaciones ISSN Impreso: 1409-2433 ISSN electrónico: 2215-3373

OAI: https://revistas.ucr.ac.cr/index.php/matematica/oai
The Black-Scholes type financial models and the arbitrage opportunities
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Palabras clave

Black–Scholes model
volatility
laws of conservation
Modelo de Black–Scholes
volatilidad
leyes de conservación

Cómo citar

Sukhomlin, N. (2007). The Black-Scholes type financial models and the arbitrage opportunities. Revista De Matemática: Teoría Y Aplicaciones, 14(1), 1–6. https://doi.org/10.15517/rmta.v14i1.277

Resumen

Usando el concepto de leyes de conservación, estudiamos ciertos modelos financieros similares al modelo de Black–Scholes. Demostramos que sin limitaciones complementarias tales modelos pueden tener dos o más volatilidades. Este hecho impone varias limitaciones intrínsecas para los parámetros de sistemas dinámicos con fines de garantizar la definición correcta de dichos sistemas.

https://doi.org/10.15517/rmta.v14i1.277
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Citas

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