Stability of option prices under uniform ellipticity

Autor:	Gregory Gagnon
Rok vydání:	2002
Předmět:	Statistics and Probability Matrix (mathematics) Rate of convergence Financial market Applied mathematics Random perturbation Call option Statistics Probability and Uncertainty Volatility (finance) Dynamical system Mathematical economics Stability (probability) Mathematics
Zdroj:	Statistics & Probability Letters. 59:361-365
ISSN:	0167-7152
DOI:	10.1016/s0167-7152(02)00232-8
Popis:	It is shown that uniform ellipticity implies stability of the price of a European call option under small random perturbations of the volatility matrix.
Databáze:	OpenAIRE
Externí odkaz:	https://explore.openaire.eu/search/publication?articleId=doi_________::15562164e649157bdacb02f01d958feb https://doi.org/10.1016/s0167-7152(02)00232-8 Zobrazit plný text záznamu Full Text from ScienceDirect