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| Main Authors: | , |
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| Format: | Preprint |
| Published: |
2025
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| Subjects: | |
| Online Access: | https://arxiv.org/abs/2506.22213 |
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| _version_ | 1866918255876112384 |
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| author | Nam, Kihun Xu, Yunxi |
| author_facet | Nam, Kihun Xu, Yunxi |
| contents | In this article, we show necessary and sufficient conditions for a function to transform a continuous Markov semimartingale to a semimartingale. As a result, the no-arbitrage principle guarantees the differentiability of asset prices with respect to the underlying noise, if the asset prices are continuous and the underlying noise is a continuous Markov semimartingale. |
| format | Preprint |
| id |
arxiv_https___arxiv_org_abs_2506_22213 |
| institution | arXiv |
| publishDate | 2025 |
| record_format | arxiv |
| spellingShingle | No arbitrage assumption implies the differentiability of derivative pricing function Nam, Kihun Xu, Yunxi Probability In this article, we show necessary and sufficient conditions for a function to transform a continuous Markov semimartingale to a semimartingale. As a result, the no-arbitrage principle guarantees the differentiability of asset prices with respect to the underlying noise, if the asset prices are continuous and the underlying noise is a continuous Markov semimartingale. |
| title | No arbitrage assumption implies the differentiability of derivative pricing function |
| topic | Probability |
| url | https://arxiv.org/abs/2506.22213 |