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MDPI, Symmetry, 10(10), p. 517, 2018

DOI: 10.3390/sym10100517

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Harnack Inequality and No-Arbitrage Analysis

Journal article published in 2018 by Wanxiao Tang, Fanchao Zhou, Peibiao Zhao ORCID
This paper is made freely available by the publisher.
This paper is made freely available by the publisher.

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Abstract

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.