Negative volatility and the survival of the western financial markets

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