July  2006, 6(4): 829-834. doi: 10.3934/dcdsb.2006.6.829

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

1. 

School of Mathematical Sciences, Monash University, VIC 3800, Australia, Australia

Received  February 2005 Revised  November 2005 Published  April 2006

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.
Citation: Kais Hamza, Fima C. Klebaner. On nonexistence of non-constant volatility in the Black-Scholes formula. Discrete and Continuous Dynamical Systems - B, 2006, 6 (4) : 829-834. doi: 10.3934/dcdsb.2006.6.829
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