Gamma-type operators and the Black-Scholes semigroup
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.
scientific article; zbMATH DE number 5867149
scientific article