Convergence with respect to the parameter of a series and the differentiability of barrier option prices with respect to the barrier (Q5391428)
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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)
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6 April 2011
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barrier call option
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Black-Scholes model
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weak convergence of measures
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parabolic equation
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Malliavin calculus
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price
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