Convergence with respect to the parameter of a series and the differentiability of barrier option prices with respect to the barrier (Q5391428)
From MaRDI portal
scientific article; zbMATH DE number 5875215
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Convergence with respect to the parameter of a series and the differentiability of barrier option prices with respect to the barrier |
scientific article; zbMATH DE number 5875215 |
Statements
Convergence with respect to the parameter of a series and the differentiability of barrier option prices with respect to the barrier (English)
0 references
6 April 2011
0 references
barrier call option
0 references
Black-Scholes model
0 references
weak convergence of measures
0 references
parabolic equation
0 references
Malliavin calculus
0 references
price
0 references
