Gamma-type operators and the Black-Scholes semigroup (Q630489)
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| Language | Label | Description | Also known as |
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| English | Gamma-type operators and the Black-Scholes semigroup |
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Gamma-type operators and the Black-Scholes semigroup (English)
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17 March 2011
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The authors study gamma type operators from the analytic and probabilistic point of view in the weighted continuous function spaces and establish the rate of convergence. A quantitative version of the classical Trotter approximation theorem is also obtained. The semigroup itself is of interest since it is generated by Black-Scholes operators, frequently occurring in the theory of option pricing in mathematical finance.
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Linear positive operators
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strongly continuous semigroups
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Markov process
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Rate of conver- gence
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Black-Scholes operator
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