Gamma-type operators and the Black-Scholes semigroup
type: Item
instance of: scholarly article
title: Gamma-type operators and the Black-Scholes semigroup
zbMATH Open document ID: 1215.41008
author: Juan-Miguel Gracia
published in: Journal of Approximation Theory
publication date: 2011-03-17T00:00:00Z
review text: The authors study gamma type operators from the analytic and probabilistic point of view in the weighted continuous function spaces and establish the rate of convergence. A quantitative version of the classical Trotter approximation theorem is also obtained. The semigroup itself is of interest since it is generated by Black-Scholes operators, frequently occurring in the theory of option pricing in mathematical finance.
Mathematics Subject Classification ID: 41A35
Mathematics Subject Classification ID: 47D06
zbMATH DE Number: 5867149
zbMATH Keywords: Linear positive operators
zbMATH Keywords: strongly continuous semigroups
zbMATH Keywords: Markov process
zbMATH Keywords: Rate of conver- gence
zbMATH Keywords: Black-Scholes operator
MaRDI profile type: Publication
full work available at URL: j.jat.2010.09.001
OpenAlex ID: W1973227780
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DOI: 10.1016/J.JAT.2010.09.001
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description: scientific article; zbMATH DE number 5867149