A note on convergence of option prices and their Greeks for Lévy models (Q5410820)
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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)
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17 April 2014
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option pricing
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equivalent martingale measure
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Lévy process
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delta hedging
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robustness
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