Palabras clave
volatility
laws of conservation
Modelo de Black–Scholes
volatilidad
leyes de conservación
Cómo citar
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.
Citas
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