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IMA Journal of Management Mathematics 1999 10(3):177-186; doi:10.1093/imaman/10.3.177
© 1999 by Institute of Mathematics and its Applications
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Option pricing, Black-Scholes, and novel arbitrage possibilities

K. HYLAND, S. McKEE and C. WADDELL

Department of Mathematics, University of Strathclyde Glasgow G1 1XH

Analytic solutions to the Black-Scholes equation are presented for the case when both interest rates and the volatility of the underlying security are arbitrary functions of time. Several special cases are examined, and novel arbitrage possibilities are discussed.


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