The Black-Scholes type financial models and the arbitrage opportunities

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The Black-Scholes type financial models and the arbitrage opportunities

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 sist...

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Bibliographic Details
Main Author:	Sukhomlin, Nikolay
Format:	Online
Language:	spa
Published:	Universidad de Costa Rica, Centro de Investigación en Matemática Pura y Aplicada (CIMPA) 2007
Online Access:	https://revistas.ucr.ac.cr/index.php/matematica/article/view/277

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