Convergence with respect to the parameter of a series and the differentiability of barrier option prices with respect to the barrier

DOI10.1090/S0094-9000-2011-00814-9zbMath1224.91158OpenAlexW2041800446MaRDI QIDQ5391428

O. M. Solovejko, O. M. Kulik, Yuliya S. Mishura

Publication date: 6 April 2011

Published in: Theory of Probability and Mathematical Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1090/s0094-9000-2011-00814-9

zbMATH Keywords

Malliavin calculuspriceparabolic equationBlack-Scholes modelweak convergence of measuresbarrier call option

Mathematics Subject Classification ID

Financial applications of other theories (91G80) Derivative securities (option pricing, hedging, etc.) (91G20) Stochastic calculus of variations and the Malliavin calculus (60H07) Functional limit theorems; invariance principles (60F17)

Related Items (1)

Limit behavior of the prices of a barrier option in the Black–Scholes model with random drift and volatility

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