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

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

2005-02-10

arxiv.org/abs/math/0502201v1

Mathematics

Probability

Scientific paper

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.

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