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.. - 45:(1999), pp. 1-14. ((Intervento presentato al convegno 2nd Seminar on Stochastic Analysis, Random Fields and Applications tenutosi a CTR STEFANO FRANSCINI, ASCONA, SWITZERLAND nel 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.
3-7643-6106-9
A Semigroup Approach to No-Arbitrage Pricing Theory / Barucci, E.; Gozzi, Fausto; Vespri, V.. - 45:(1999), pp. 1-14. ((Intervento presentato al convegno 2nd Seminar on Stochastic Analysis, Random Fields and Applications tenutosi a CTR STEFANO FRANSCINI, ASCONA, SWITZERLAND nel 16-21 Settembre 1996.
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Utilizza questo identificativo per citare o creare un link a questo documento: http://hdl.handle.net/11385/5277
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