On non-uniqueness in the option valuation problem

Ekaterina A. Ladykova and Olga S. Rozanova

Papers from arXiv.org

Abstract: It is known that the value of a call option in the case of constant elasticity processes (CEV) with the indicator $\alpha$ exceeding the critical $\alpha=1$ is determined in a non-unique way. We show how, based on an already existing mathematical theory concerning the correctness of boundary conditions for degenerate parabolic equations on the semi-axis $[0,\infty)$, this phenomenon can be explained. Namely, for $1

Date: 2025-01
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