On nonexistence of non-constant volatility in the Black-Scholes formula
classification
🧮 math.PR
q-fin.PR
keywords
volatilityblack-scholesformulacallconstantholdsindependentinterest
read the original abstract
We 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.
This paper has not been read by Pith yet.
discussion (0)
Sign in with ORCID, Apple, or X to comment. Anyone can read and Pith papers without signing in.