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Trudy Matematicheskogo Instituta imeni V.A. Steklova, 2002, Volume 237, Pages 234–248
(Mi tm335)
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This article is cited in 2 scientific papers (total in 2 papers)
Sensitivity of the Black–Scholes Option Price to the Local Path
Behavior of the Stochastic Process Modeling the Underlying Asset
P. Cheridito Departement für Mathematik, Eidgenösische Technische Hochschule
Zürich
Abstract:
We show that a change in the local path behavior of the stock price process
in the Black–Scholes model can have a dramatic effect on option prices and
hedging strategies.
Received in May 2001
Citation:
P. Cheridito, “Sensitivity of the Black–Scholes Option Price to the Local Path
Behavior of the Stochastic Process Modeling the Underlying Asset”, Stochastic financial mathematics, Collected papers, Trudy Mat. Inst. Steklova, 237, Nauka, MAIK «Nauka/Inteperiodika», M., 2002, 234–248; Proc. Steklov Inst. Math., 237 (2002), 225–239
Linking options:
https://www.mathnet.ru/eng/tm335 https://www.mathnet.ru/eng/tm/v237/p234
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Abstract page: | 219 | Full-text PDF : | 86 | References: | 52 |
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