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A Black–Scholes inequality
Michael R. Tehranchi
Oct 17, 2020
Abstract: The space of call price curves has a natural noncommutative semigroup structure with an involution. A basic example is the Black–Scholes call price surface, from which an interesting inequality for Black–Scholes...
A Black–Scholes inequality
Michael R. Tehranchi
Jun 06, 2020
Abstract: The space of call price curves has a natural noncommutative semigroup structure with an involution. A basic example is the Black–Scholes call price surface, from which an interesting inequality for Black–Scholes...