No arbitrage assumption implies the differentiability of the derivative pricing function

DOI10.1080/14697688.2026.2672622MaRDI QIDQ7347666zbMATH OpenFDO

Authors Kihun Nam, Yunxi Xu

Publication date 14 September 2026

Published in Quantitative Finance (Search for Journal in Brave)

Copyright license Creative Commons Attribution 4.0 International

Full work available at URL https://doi.org/10.1080/14697688.2026.2672622

Mathematics Subject Classification ID

Actuarial science and mathematical finance (91Gxx)

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• Stochastic calculus for a time-changed semimartingale and the associated stochastic differential equations
• The fundamental theorem of asset pricing for unbounded stochastic processes
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