MONOTONICITY AND CONVEXITY OF OPTION PRICES REVISITED
在更一般的设定下，用简单论证扩展了期权价格关于初始股价、波动率和利率的单调性与凸性结果，对金融衍生品定价研究者有参考价值。
The Black‐Scholes option price is increasing and convex with respect to the initial stock price. increasing with respect to volatility and instantaneous interest rate, and decreasing and convex with respect to the strike price. These results have been extended in various directions. In particular, when the underlying stock price follows a one‐dimensional diffusion and interest rates are deterministic, it is well known that a European contingent claim's price written on the stock with a convex (concave. respectively) payoff function is also convex (concave) with respect to the initial stock price. This paper discusses extensions of such results under more general settings by simple arguments.