Harnack Inequality and No-Arbitrage Analysis

被引：4
|
作者：
Tang, Wanxiao [1 ]
Zhou, Fanchao [1 ]
Zhao, Peibiao [1 ]
机构：
[1] Nanjing Univ Sci & Technol, Dept Math, Nanjing 210094, Jiangsu, Peoples R China
来源：
SYMMETRY-BASEL | 2018年 / 10卷 / 10期
基金：
中国国家自然科学基金;
关键词：
Harnack inequality; fundamental solution; no arbitrage; EQUATIONS;
D O I：
10.3390/sym10100517
中图分类号：
O [数理科学和化学]; P [天文学、地球科学]; Q [生物科学]; N [自然科学总论];
学科分类号：
07 ; 0710 ; 09 ;
摘要：
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.
引用
收藏
页数：10
相关论文
共 50 条
  • [21] No-arbitrage under a class of honest times
    Aksamit, Anna
    Choulli, Tahir
    Deng, Jun
    Jeanblanc, Monique
    FINANCE AND STOCHASTICS, 2018, 22 (01) : 127 - 159
  • [22] A no-arbitrage theorem for uncertain stock model
    Kai Yao
    Fuzzy Optimization and Decision Making, 2015, 14 : 227 - 242
  • [23] No-arbitrage concepts in topological vector lattices
    Platen, Eckhard
    Tappe, Stefan
    POSITIVITY, 2021, 25 (05) : 1853 - 1898
  • [24] No-arbitrage Analysis of Frictional Markets Under the General Transaction Costs
    Wang Shaojun Yang Xiaoping Hubei Branch of Bank of China
    School of Science
    China'sForeignTrade, 2009, (05) : 66 - 67
  • [25] A no-arbitrage analysis of macroeconomic determinants of the credit spread term structure
    Wu, Liuren
    Zhang, Frank Xiaoling
    MANAGEMENT SCIENCE, 2008, 54 (06) : 1160 - 1175
  • [26] No-arbitrage condition and existence of equilibrium with dividends
    Le Van, Cuong
    Minh, Nguyen Ba
    JOURNAL OF MATHEMATICAL ECONOMICS, 2007, 43 (02) : 135 - 152
  • [27] No-arbitrage macroeconomic determinants of the yield curve
    Bikbov, Ruslan
    Chernov, Mikhail
    JOURNAL OF ECONOMETRICS, 2010, 159 (01) : 166 - 182
  • [28] Pricing by hedging and no-arbitrage beyond semimartingales
    Christian Bender
    Tommi Sottinen
    Esko Valkeila
    Finance and Stochastics, 2008, 12 : 441 - 468
  • [29] Characterizations of No-Arbitrage in Frictional Markets by Optimality
    Dong, Hongbin
    2011 CHINESE CONTROL AND DECISION CONFERENCE, VOLS 1-6, 2011, : 3356 - 3361
  • [30] TRADING STRATEGIES WITHIN THE EDGES OF NO-ARBITRAGE
    Cartea, Alvaro
    Jaimungal, Sebastian
    Ricci, Jason
    INTERNATIONAL JOURNAL OF THEORETICAL AND APPLIED FINANCE, 2018, 21 (03)
12345