|제목||[학술세미나] [학과세미나] 3월 30일(금) 11시 학과세미나 안내|
|내용||[학과세미나] 3월 30일(금) 11시 학과세미나 안내
▪제목 : Infinitely Many Solutions to the Black-Scholes PDE; Statistics Point of View
▪연사 : 최병선 (서울대 경제학부)
▪일시 : 2018년 3월 30일(금) AM 11:00 – 12:00
▪장소 : 25동 405호
The Black-Scholes formula for a European option price, which resulted in the 1997 Nobel Prize in Economic Sciences, is known to be a unique solution to the Black-Scholes partial differential equation with the terminal condition corresponding to the European option. We show that there exist infinitely many solutions to the Black-Scholes partial differential equation with the terminal condition. Such solutions include the Black-Scholes option valuation formula as a special one. This implies that the Black-Scholes formula for a European option price violates the well-known law of one price in economics. We also discuss the reason the infinitely many solutions exist in statistics point of view and a deficiency of the central limit theorem(CLT) in the boundary value problem. Also, we present a refined version of the CLT, and discuss a possibility to make a refined version of Kolmogorov–Smirnov asymptotic distribution.
세미나 안내_180330_최병선.hwp [14KB]