Local Equivalence of the Black–Scholes and Merton–Garman Equations
It has been previously demonstrated that stochastic volatility emerges as the gauge field necessary to restore local symmetry under changes in stock prices in the Black–Scholes (BS) equation. When this occurs, a Merton–Garman-like equation emerges. From the perspective of manifolds, this means that...
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| Format: | Artigo |
| Jezik: | Inglês |
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MDPI AG
2025-03-01
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| Serija: | Axioms |
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| Online pristup: | https://www.mdpi.com/2075-1680/14/3/215 |
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