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

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dc.creatorHamza, K.
dc.creatorKlebaner, F. C.
dc.date2005-02-10
dc.date.accessioned2026-07-07T12:07:15Z
dc.date.available2026-07-07T12:07:15Z
dc.descriptionWe prove that if the Black-Scholes formula holds with the spot volatility for call options with all strikes, then the volatility parameter is constant. The proof relies some result on semimartingales (Theorem 2) of independent interest.
dc.identifierhttps://arxiv.org/abs/math/0502201
dc.identifierhttp://arxiv.org/abs/math/0502201
dc.identifier.urihttp://salesiana.dossiersoluciones.com/handle/123456789/208904
dc.subjectProbability
dc.subjectPricing of Securities
dc.subject60G44, 60H30, 90A09
dc.titleOn nonexistence of non-constant volatility in the Black-Scholes formula
dc.typetext

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