Stability of option prices under uniform ellipticity.

DOI10.1016/S0167-7152(02)00232-8zbMath1036.91023OpenAlexW2072242549MaRDI QIDQ1871296

Gregory Gagnon

Publication date: 7 May 2003

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0167-7152(02)00232-8

zbMATH Keywords

European call optionRandomly perturbed dynamical system

Mathematics Subject Classification ID

Ordinary differential equations and systems with randomness (34F05) Stochastic integral equations (60H20)

Cites Work

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• On the pricing of contingent claims under constraints
• Random Perturbations of Reaction-Diffusion Equations: The Quasi-Deterministic Approximation

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