A note on convergence of option prices and their Greeks for Lévy models (Q5410820): Difference between revisions
From MaRDI portal
Added link to MaRDI item. |
Set profile property. |
||
| Property / MaRDI profile type | |||
| Property / MaRDI profile type: MaRDI publication profile / rank | |||
Normal rank | |||
Revision as of 20:30, 5 March 2024
scientific article; zbMATH DE number 6286615
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | A note on convergence of option prices and their Greeks for Lévy models |
scientific article; zbMATH DE number 6286615 |
Statements
A note on convergence of option prices and their Greeks for Lévy models (English)
0 references
17 April 2014
0 references
option pricing
0 references
equivalent martingale measure
0 references
Lévy process
0 references
delta hedging
0 references
robustness
0 references
