Conservation law of strike price and inversion of the Black-Scholes formula

DOI10.1007/S11182-007-0111-7zbMath1386.35404OpenAlexW2004505528MaRDI QIDQ946558

N. B. Sukhomlin

Publication date: 23 September 2008

Published in: Russian Physics Journal (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11182-007-0111-7

Mathematics Subject Classification ID

Microeconomic theory (price theory and economic markets) (91B24) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) PDEs in connection with game theory, economics, social and behavioral sciences (35Q91)

Cites Work

• The Pricing of Options and Corporate Liabilities
• An implementation of Bouchouev's method for a short time calibration of option pricing models
• The inverse problem of option pricing
• The Mathematics of Financial Derivatives
• On decoupling of volatility smile and term structure in inverse option pricing
• Law of Conservation of the Capital-Output Ratio
• Unnamed Item
• Unnamed Item

This page was built for publication: Conservation law of strike price and inversion of the Black-Scholes formula