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- W2137280045 abstract "The Black-Scholes formula has been derived under the assumption of constant volatility in stocks. In spite of evidence that this parameter is not constant, this formula is widely used by the markets. This paper addresses the question whether a model for stock price exists such that the Black-Scholes formula holds while the volatility is nonconstant. We give new as well as recent results concerning this question providing as complete as possible an answer at this stage. It is remarkable that while in general for the Black-Scholes formula the answer is ‘no’, it is ‘yes’ for a similar question concerning the Bachelier formula. c" @default.
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- W2137280045 date "2007-01-01" @default.
- W2137280045 modified "2023-09-26" @default.
- W2137280045 title "On One Inverse Problem in Financial Mathematics" @default.
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