Harnack Inequality and No-Arbitrage Analysis
| Autor: | Peibiao Zhao, Fanchao Zhou, Wanxiao Tang |
|---|---|
| Jazyk: | angličtina |
| Rok vydání: | 2018 |
| Předmět: |
Computer Science::Computer Science and Game Theory
Harnack inequality fundamental solution Physics and Astronomy (miscellaneous) General Mathematics lcsh:Mathematics 010102 general mathematics Financial market no arbitrage lcsh:QA1-939 01 natural sciences 010104 statistics & probability Mathematics::Probability Chemistry (miscellaneous) Valuation of options Computer Science (miscellaneous) Fundamental solution Economics Arbitrage 0101 mathematics Mathematical economics Gradient estimate Harnack's inequality |
| Zdroj: | Symmetry Volume 10 Issue 10 Symmetry, Vol 10, Iss 10, p 517 (2018) |
| ISSN: | 2073-8994 |
| DOI: | 10.3390/sym10100517 |
| Popis: | The present paper attains a Harnack inequality for the option pricing (or Kolmogorov) equation with gradient estimate arguments. We then perform a no-arbitrage analysis of a financial market. |
| Databáze: | OpenAIRE |
| Externí odkaz: |
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