scientific article; zbMATH DE number 1304135

MaRDI QIDQ4250835zbMATH OpenFDO

Authors Fabrizio Colombo, Roberto Monte, Vincenzo Vespri

Publication date 5 October 2000

zbMATH Keywords

a priori estimateshedging strategyinterpolation spacesparabolic equationsemigroup theoryvall option function

Mathematics Subject Classification ID

A priori estimates in context of PDEs (35B45) Second-order parabolic equations (35K10) Derivative securities (option pricing, hedging, etc.) (91G20)

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Cited in

(5)

• On equi-derivatives
• scientific article; zbMATH DE number 2169711 (Why is no real title available?)
• On parabolic equations with gauge function term and applications to the multidimensional Leland equation
• Conditions of convergence of European option prices in the Black-Scholes model
• Uniform asymptotic expansions for pricing European options

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