descriptionPublicationkeyboard_double_arrow_right Part of book or chapter of book , Other literature type , Conference object 01 Jan 1999 English Publisher:Birkhäuser Basel

Authors: E. BARUCCI; F. GOZZI; VESPRI, VINCENZO;

doi: 10.1007/978-3-0348-8681-9_1

handle: 11311/539815 , 2158/336092

On a Semigroup Approach to No-arbitrage Pricing Theory

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Abstract

We show that the second order operator characterizing no-arbitrage pricing problems generates an Analytic Semigroup and therefore the Cauchy problem defining the no-arbitrage price of contingent claim contracts admits a solution. The conditions established in this paper are quite general, they encompass the sets of sufficient conditions already established in the literature. With this approach we are also able to give estimates to the derivatives of the no-arbitrage price.

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Keywords

semigroup; no arbitrage

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