Show simple item record

The Black-Scholes type financial models and the arbitrage opportunities

dc.creatorSukhomlin, Nikolay
dc.date.accessioned2015-05-19T18:48:18Z
dc.date.available2015-05-19T18:48:18Z
dc.date.issued2009-02-25 00:00:00
dc.identifier.citationhttp://revistas.ucr.ac.cr/index.php/matematica/article/view/277
dc.identifier.issn
dc.identifier.urihttp://hdl.handle.net/10669/12926
dc.description.abstractBy using the conservation laws concept, we study certain financial models similar tothe Black–Scholes model. We show that without complement limitations such modelscan have two or more volatilities. This fact imposes several intrinsic limitations forthe dynamical system parameters in order to guarantee the correct definition.Keywords: Black–Scholes model, volatility, laws of conservation.
dc.description.abstractUsando el concepto de leyes de conservaci´on, estudiamos ciertos modelos financierossimilares al modelo de Black–Scholes. Demostramos que sin limitaciones complementariastales modelos pueden tener dos o m´as volatilidades. Este hecho impone variaslimitaciones intr´?nsecas para los par´ametros de sistemas din´amicos con fines de garantizarla definici´on correcta de dichos sistemas.Palabras clave: Modelo de Black–Scholes, volatilidad, leyes de conservaci´on.
dc.format.extent1-6
dc.relation.ispartofRevista de Matemática: Teoría y Aplicaciones Vol. 14 Núm. 1 2009
dc.titleThe Black-Scholes type financial models and the arbitrage opportunities
dc.titleThe Black-Scholes type financial models and the arbitrage opportunities
dc.typeinfo:eu-repo/semantics/article
dc.typeinfo:eu-repo/semantics/publishedVersion
dc.date.updated2015-05-19T18:48:22Z
dc.language.rfc3066es
dc.identifier.doi10.15517/rmta.v14i1.277


Files in this item

Thumbnail

This item appears in the following Collection(s)

Show simple item record