We show that the second order operator characterizing no-arbitrage pricing problems generates an Analytic Semigroup and therefore the Cauchy problem defining the no-arbitrage price of contingent claim contracts admits a solution. The conditions established in this paper are quite general, they encompass the sets of sufficient conditions already established in the literature. With this approach we are also able to give estimates to the derivatives of the no-arbitrage price.
A Semigroup Approach to No-Arbitrage Pricing Theory / Barucci, E.; Gozzi, Fausto; Vespri, V.. - Conference on Stochastic Analysis, Random Fields and Applications, Ascona (H), (1999), pp. 1-14. (2nd Seminar on Stochastic Analysis, Random Fields and Applications, CTR STEFANO FRANSCINI, ASCONA, SWITZERLAND, 16-21 Settembre 1996).
A Semigroup Approach to No-Arbitrage Pricing Theory
GOZZI, FAUSTO;
1999
Abstract
We show that the second order operator characterizing no-arbitrage pricing problems generates an Analytic Semigroup and therefore the Cauchy problem defining the no-arbitrage price of contingent claim contracts admits a solution. The conditions established in this paper are quite general, they encompass the sets of sufficient conditions already established in the literature. With this approach we are also able to give estimates to the derivatives of the no-arbitrage price.
Pubblicazioni consigliate
I documenti in IRIS sono protetti da copyright e tutti i diritti sono riservati, salvo diversa indicazione.
