I research in the Market calibration problem for the Black-Scholes-Merton type models. For this type of models I found an expression of volatility in function of variables known on the market. I am developing an analysis based on Conservation laws in Economics & Finance. This analysis allows discovering the existence of several volatilities for one asset.
Primary Research Focus:
Derivative markets, Bonds theory, Conservation laws in Economics & Finance, Black-Scholes-Merton type models
JEL Areas: C0 : Mathematical and Quantitative Methods: General G1 : General Financial Markets: General (includes Measurement and Data)
