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

DOI10.1090/S0094-9000-2012-00863-6zbMath1274.91429MaRDI QIDQ2849251

Yu. V. Yukhnovs'Kiĭ, Yuliya S. Mishura

Publication date: 17 September 2013

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

zbMATH Keywords

weak convergencefunctional limit theoremssemimartingalesstochastic integralsbarrier options

Mathematics Subject Classification ID

Martingales with continuous parameter (60G44) Derivative securities (option pricing, hedging, etc.) (91G20) Limit theorems for vector-valued random variables (infinite-dimensional case) (60B12)

Cites Work

• Unnamed Item
• Functional limit theorems for stochastic integrals with applications to risk processes and to value processes of self-financing strategies in a multidimensional market. II
• Convergence with respect to the parameter of a series and the differentiability of barrier option prices with respect to the barrier
• Functional limit theorems for stochastic integrals with applications to risk processes and to self-financing strategies in a multidimensional market. I

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