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- W3124088845 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." @default.
- W3124088845 created "2021-02-01" @default.
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- W3124088845 date "2005-02-01" @default.
- W3124088845 modified "2023-09-27" @default.
- W3124088845 title "On nonexistence of non-constant volatility in the Black-Scholes formula" @default.
- W3124088845 hasPublicationYear "2005" @default.
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