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Signature indistinguishability of Black–Scholes models with matched one-year marginals
Let $(S_t)_{t\ge 0}$ satisfy the Black–Scholes dynamics … where $\mu\in\mathbb{R}$ , $\gamma$ is deterministic, and $(W_t)_{t\ge 0}$ is a standard Brownian motion. Consider one mode…
Conjectureopenblack-scholes-model signatures stochastic-processesarXiv posted 2 days ago
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The Black–Scholes scaling-limit conjecture for utility indifference prices
Black–Scholes scaling-limit conjecture. The scaling limit of the utility indifference prices should be
Conjectureopenblack-scholes-model scaling-limits utility-indifference-pricingarXiv posted 2 days ago

Signature indistinguishability of Black–Scholes models with matched one-year marginals