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Harnack Inequality and No-Arbitrage Analysis

Tang, WX; Zhou, FC; Zhao, PB

Zhao, PB (reprint author), Nanjing Univ Sci & Technol, Dept Math, Nanjing 210094, Jiangsu, Peoples R China.

SYMMETRY-BASEL, 2018; 10 (10):

Abstract

The present paper attains a Harnack inequality for the option pricing (or Kolmogorov) equation with gradient estimate arguments. We then perform a no-......

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