Approximating functionals of local martingales under lack of uniqueness of the Black–Scholes PDE solution

DOI10.1080/14697688.2013.838634zbMath1398.91616arXiv1102.2285OpenAlexW2058170670MaRDI QIDQ4683106

Qingshuo Song, Peng-fei Yang

Publication date: 19 September 2018

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1102.2285

zbMATH Keywords

convergence ratenon-uniquenesslocal martingalesfinancial bubblesBlack-Scholes PDEEuler's approximation

Mathematics Subject Classification ID

Martingales with continuous parameter (60G44) Financial applications of other theories (91G80) Derivative securities (option pricing, hedging, etc.) (91G20) PDEs in connection with game theory, economics, social and behavioral sciences (35Q91)

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