Option pricing impact of alternative continuous-time dynamics

DOI10.1007/s007800050009zbMath0956.60034OpenAlexW2062274972MaRDI QIDQ1584193

Damiano Brigo, Fabio Mercurio

Publication date: 1 November 2000

Published in: Finance and Stochastics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s007800050009

zbMATH Keywords

option pricingBlack and Scholes modeldiscrete \(\Delta\)-volatilitydiscrete time versus continuous timestock-price dynamics

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Microeconomic theory (price theory and economic markets) (91B24) Signal detection and filtering (aspects of stochastic processes) (60G35)

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