On nonexistence of non-constant volatility in the Black-Scholes formula

DOI10.3934/dcdsb.2006.6.829zbMath1133.60337arXivmath/0502201OpenAlexW1579577197MaRDI QIDQ2471399

Kais Hamza, Fima C. Klebaner

Publication date: 22 February 2008

Published in: Discrete and Continuous Dynamical Systems. Series B (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/math/0502201

zbMATH Keywords

stochastic volatilityBlack-Scholes formulalocal volatility modelsstochastic implied volatility

Mathematics Subject Classification ID

Stochastic models in economics (91B70) Applications of stochastic analysis (to PDEs, etc.) (60H30) Martingales with continuous parameter (60G44) Derivative securities (option pricing, hedging, etc.) (91G20)

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Analysis of fractals, image compression, entropy encoding, Karhunen-Loève transforms ⋮ Volatility in options formulae for general stochastic dynamics ⋮ A continuous non-Brownian motion martingale with Brownian motion marginal distributions ⋮ On the implicit Black–Scholes formula ⋮ Mimicking self-similar processes

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