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Harnack inequality and no-arbitrage bounds for self-financing portfolios

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Author Info
Carciola, Alessandro
Pascucci, Andrea
Polidoro, Sergio

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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.

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File URL: http://mpra.ub.uni-muenchen.de/15665/
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Publisher Info
Paper provided by University Library of Munich, Germany in its series MPRA Paper with number 15665.

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Date of creation: 10 Jun 2009
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Handle: RePEc:pra:mprapa:15665

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Related research
Keywords: Harnack inequality; no-arbitrage principle; self-financing portfolio; Kolmogorov equation; linear stochastic equation;

Find related papers by JEL classification:
G1 - Financial Economics - - General Financial Markets
C65 - Mathematical and Quantitative Methods - - Mathematical Methods and Programming - - - Miscellaneous Mathematical Tools
C02 - Mathematical and Quantitative Methods - - General - - - Mathematical Economics

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This page was last updated on 2009-12-1.

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