Harnack Inequality and No-Arbitrage Analysis

Wanxiao Tang; Fanchao Zhou; Peibiao Zhao

doi:10.3390/sym10100517

Symmetry (Oct 2018)

Harnack Inequality and No-Arbitrage Analysis

Wanxiao Tang,
Fanchao Zhou,
Peibiao Zhao

Affiliations

Wanxiao Tang: Department of Mathematics, Nanjing University of Science and Technology, Nanjing 210094, China
Fanchao Zhou: Department of Mathematics, Nanjing University of Science and Technology, Nanjing 210094, China
Peibiao Zhao: Department of Mathematics, Nanjing University of Science and Technology, Nanjing 210094, China

DOI: https://doi.org/10.3390/sym10100517
Journal volume & issue: Vol. 10, no. 10
p. 517

Abstract

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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.

Published in Symmetry

ISSN: 2073-8994 (Online)
Publisher: MDPI AG
Country of publisher: Switzerland
LCC subjects: Science: Mathematics
Website: http://www.mdpi.com/journal/symmetry/

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