The Black-Scholes Equation in Presence of Arbitrage


The celebrated Black-Scholes PDE, allowing to price a derivative in term of the underlying, relies on the no arbitrage assumption. In this work, we utilize a market model, where portfolio rebalancing and discounting are seen... [ view full abstract ]


  1. Hideyuki Takada (Toho university)
  2. Simone Farinelli (Core Dynamics GmbH)

Topic Area

Arbitrage Theory


TH-A-UI » No-Arbitrage Theory and FTAP (11:30 - Thursday, 19th July, Ui Chadhain)

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