Carciola, Alessandro ; Pascucci, Andrea ; Polidoro, Sergio
(2009)
Harnack inequality and no-arbitrage bounds for self-financing portfolios.
[Preprint]
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Abstract
We give a direct proof of the Harnack inequality for a class of Kolmogorov operators associated with a linear SDE and we find the explicit expression of the optimal Harnack constant. We discuss some possible implication of the Harnack inequality in finance: specifically we infer no-arbitrage bounds for the value of self-financing portfolios in terms of the initial wealth.
Abstract
We give a direct proof of the Harnack inequality for a class of Kolmogorov operators associated with a linear SDE and we find the explicit expression of the optimal Harnack constant. We discuss some possible implication of the Harnack inequality in finance: specifically we infer no-arbitrage bounds for the value of self-financing portfolios in terms of the initial wealth.
Document type
Preprint
Creators
Keywords
Harnack inequality, no-arbitrage principle, self-financing portfolio
Subjects
DOI
Deposit date
09 Jun 2009
Last modified
16 May 2011 12:10
URI
Other metadata
Document type
Preprint
Creators
Keywords
Harnack inequality, no-arbitrage principle, self-financing portfolio
Subjects
DOI
Deposit date
09 Jun 2009
Last modified
16 May 2011 12:10
URI
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