Existence and Uniqueness of Martingale Solutions to Option Pricing Equations with Noise
Existence and Uniqueness of Martingale Solutions to Option Pricing Equations with Noise
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DOI：
10.1007/s10986-020-09499-1
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发表时间：
2020-10
影响因子：
0.4
通讯作者：
Jun Zhao;Ru Zhou;P. Zhao
中科院分区：
文献类型：
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作者：
Jun Zhao;Ru Zhou;P. Zhao
本文在摩擦金融市场中引入了一个与经典期权定价方程完全不同的带噪声期权定价方程，并得到了该方程在不考虑不可压缩性的情况下存在鞅解。此外，我们还讨论了鞅解的唯一性。
We introduce a new option pricing equation with noise in a frictional financial market, which is fully different from the classical option pricing equation, and arrive at the existence of martingale solutions of this option pricing equation regardless of incompressibility. Furthermore, we also discuss the uniqueness of martingale solutions.