The Black–Scholes equation in the presence of arbitrage

DOI10.1080/14697688.2022.2117075zbMath1518.91259arXiv1904.11565MaRDI QIDQ6158381

Simone Farinelli, Hideyuki Takada

Publication date: 20 June 2023

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1904.11565

zbMATH Keywords

curvaturegauge transformgeometric arbitrage theorynonlinear Black Scholes PDE

Mathematics Subject Classification ID

Applications of stochastic analysis (to PDEs, etc.) (60H30) PDEs in connection with game theory, economics, social and behavioral sciences (35Q91) Financial markets (91G15)

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