INFLUENCE OF VOLATILITY ON VALUATION OF EUROPEAN CALL OPTION
The article analyzes volatility as a function of time, which characterizes the range of value fluctuation of European call option, using two methods of martingale measure construction: method based on the Esher transformation and method based on the Girsanov theorem. It is shown that the well-known Black-Scholes formula that allows valuating the optimal option value is a special case of the formula of optimal value of the European call option that is deduced in this article.