Discussion Papers, Department of Business and Management Science, Norwegian School of Economics (NHH)
Knut K. Aase
Negative volatility and the Survival of Western Financial Markets
Abstract: The paper discusses situations where certain parameters
are given values that are outside their natural ranges. One case is
obtained when plugging in a negative value for the volatility parameter in
the Black and Scholes formula. This leads to seemingly "new" results.
different setting is considered related to the developments in time of
biological populations. Here deterministic models lead to chaotically
fluctuating population sizes, which came as a surprise to workers with
It is argued that the origins for the seemingly new
and original results may be related.
Keywords: The Black and Scholes Model; negative volatility; population models; chaotic fluctuations; bifurcation; (follow links to similar papers)
JEL-Codes: G10; (follow links to similar papers)
8 pages, March 17, 2004
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