Convergence with respect to the parameter of a series and the differentiability of barrier option prices with respect to the barrier (Q5391428): Difference between revisions
From MaRDI portal
Set profile property. |
Set OpenAlex properties. |
||
| Property / full work available at URL | |||
| Property / full work available at URL: https://doi.org/10.1090/s0094-9000-2011-00814-9 / rank | |||
Normal rank | |||
| Property / OpenAlex ID | |||
| Property / OpenAlex ID: W2041800446 / rank | |||
Normal rank | |||
Latest revision as of 09:13, 30 July 2024
scientific article; zbMATH DE number 5875215
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Convergence with respect to the parameter of a series and the differentiability of barrier option prices with respect to the barrier |
scientific article; zbMATH DE number 5875215 |
Statements
Convergence with respect to the parameter of a series and the differentiability of barrier option prices with respect to the barrier (English)
0 references
6 April 2011
0 references
barrier call option
0 references
Black-Scholes model
0 references
weak convergence of measures
0 references
parabolic equation
0 references
Malliavin calculus
0 references
price
0 references
