Portfolios Generated by Contingent Claim Functions, with Applications to Option Pricing

Ricardo T. Fernholz, Robert Fernholz
{"title":"Portfolios Generated by Contingent Claim Functions, with Applications to Option Pricing","authors":"Ricardo T. Fernholz, Robert Fernholz","doi":"arxiv-2308.13717","DOIUrl":null,"url":null,"abstract":"In a market of stocks represented by strictly positive continuous\nsemimartingales, a contingent claim function is a positive C^{2, 1} function of\nthe stock prices and time with a given terminal value. If a contingent claim\nfunction satisfies a certain parabolic differential equation, it will generate\na portfolio with value process that replicates the contingent claim function.\nThis parabolic differential equation is a general form of the Black-Scholes\nequation.","PeriodicalId":501355,"journal":{"name":"arXiv - QuantFin - Pricing of Securities","volume":"11 1","pages":""},"PeriodicalIF":0.0000,"publicationDate":"2023-08-26","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":null,"platform":"Semanticscholar","paperid":null,"PeriodicalName":"arXiv - QuantFin - Pricing of Securities","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/arxiv-2308.13717","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"","JCRName":"","Score":null,"Total":0}
引用次数: 0

Abstract

In a market of stocks represented by strictly positive continuous semimartingales, a contingent claim function is a positive C^{2, 1} function of the stock prices and time with a given terminal value. If a contingent claim function satisfies a certain parabolic differential equation, it will generate a portfolio with value process that replicates the contingent claim function. This parabolic differential equation is a general form of the Black-Scholes equation.
或有债权函数生成的投资组合及其在期权定价中的应用
在由严格正连续半鞅表示的股票市场中,或有债权函数是给定终端值的股票价格和时间的正C^{2,1}函数。如果某一或有索求函数满足某一抛物线微分方程,则该或有索求函数将生成具有复制该或有索求函数的价值过程的投资组合。抛物型微分方程是布莱克-斯科尔斯方程的一般形式。
本文章由计算机程序翻译,如有差异,请以英文原文为准。
求助全文
约1分钟内获得全文 求助全文
来源期刊
自引率
0.00%
发文量
0
×
引用
GB/T 7714-2015
复制
MLA
复制
APA
复制
导出至
BibTeX EndNote RefMan NoteFirst NoteExpress
×
提示
您的信息不完整,为了账户安全,请先补充。
现在去补充
×
提示
您因"违规操作"
具体请查看互助需知
我知道了
×
提示
确定
请完成安全验证×
copy
已复制链接
快去分享给好友吧!
我知道了
右上角分享
点击右上角分享
0
联系我们:info@booksci.cn Book学术提供免费学术资源搜索服务,方便国内外学者检索中英文文献。致力于提供最便捷和优质的服务体验。 Copyright © 2023 布克学术 All rights reserved.
京ICP备2023020795号-1
ghs 京公网安备 11010802042870号
Book学术文献互助
Book学术文献互助群
群 号:481959085
Book学术官方微信