dc.contributor.author | Aase, Knut K. | |
dc.date.accessioned | 2006-07-11T11:43:18Z | |
dc.date.available | 2006-07-11T11:43:18Z | |
dc.date.issued | 2004-01 | |
dc.identifier.issn | 1500-4066 | |
dc.identifier.uri | http://hdl.handle.net/11250/163577 | |
dc.description.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.
A 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 population data.
It is argued that the origins for the seemingly new and original results may be related. | en |
dc.format.extent | 198999 bytes | |
dc.format.mimetype | application/pdf | |
dc.language.iso | eng | en |
dc.publisher | Norwegian School of Economics and Business Administration. Department of Finance and Management Science | en |
dc.relation.ispartofseries | Discussion paper | en |
dc.relation.ispartofseries | 2004:5 | en |
dc.subject | the Black and Scholes model | en |
dc.subject | negative volatility | en |
dc.subject | poplulation models | en |
dc.subject | chaotic fluctations | en |
dc.subject | bifurcation | en |
dc.title | Negative volatility and the survival of the western financial markets | en |
dc.type | Working paper | en |