Svante August Arrhenius

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Imagine: An Interview with Svante Pääbo

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We use a notion of stochastic time, here called volatility time, to show convexity of option prices in the underlying asset if the contract function is convex as well as continuity and monotonicity of the option price in the volatility. The volatility time is obtained as the almost surely unique stopping time solution to a random ordinary differential equation related to volatility. This enable...

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ژورنال

عنوان ژورنال: Scientific American

سال: 1911

ISSN: 0036-8733

DOI: 10.1038/scientificamerican02181911-157