Harnack Inequality and No-Arbitrage Analysis
| Autor: | Wanxiao Tang, Fanchao Zhou, Peibiao Zhao |
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| Jazyk: | angličtina |
| Rok vydání: | 2018 |
| Předmět: | |
| Zdroj: | Symmetry, Vol 10, Iss 10, p 517 (2018) |
| Druh dokumentu: | article |
| 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: | Directory of Open Access Journals |
| Externí odkaz: |
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