Sep 21, 2017 term paper 2

CONSIDER A SELF-FINANCING MARKOVIAN PORTFOLIO (IN CONTINUOUS TIME) CONTAINING VARIOUS DERIVATIVES…

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Consider a self-financing Markovian portfolio (in continuous time) containing various derivatives of the single underlying asset in the Black-Scholes model. Denote the value (pricing function) of the portfolio by P(t, s). Show that the following relation must hold between the various greeks of P.



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