The Black-Scholes type financial models and the arbitrage opportunities

By 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 guaran...

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Main Author: Sukhomlin, Nikolay
Format: Artículo
Language: Español
Published: 2015
Online Access: http://revistas.ucr.ac.cr/index.php/matematica/article/view/277
http://hdl.handle.net/10669/12926
Summary: By 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.