{"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.
京公网安备 11010802042870号
京ICP备2023020795号-1
分享
求助内容：
应助结果提醒方式：
扫码关注我们
