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Trudy Matematicheskogo Instituta imeni V.A. Steklova, 2002, Volume 237, Pages 234–248 (Mi tm335)  
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
Full-text PDF (211 kB) Citations (2)
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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
Bibliographic databases:
UDC: 519.2+519.8
Language: English
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
Citation in format AMSBIB
\Bibitem{Che02}
\by P.~Cheridito
\paper Sensitivity of the Black--Scholes Option Price to the Local Path
Behavior of the Stochastic Process Modeling the Underlying Asset
\inbook Stochastic financial mathematics
\bookinfo Collected papers
\serial Trudy Mat. Inst. Steklova
\yr 2002
\vol 237
\pages 234--248
\publ Nauka, MAIK «Nauka/Inteperiodika»
\publaddr M.
\mathnet{http://mi.mathnet.ru/tm335}
\mathscinet{http://mathscinet.ams.org/mathscinet-getitem?mr=1976519}
\zmath{https://zbmath.org/?q=an:1048.91062}
\transl
\jour Proc. Steklov Inst. Math.
\yr 2002
\vol 237
\pages 225--239
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    • This publication is cited in the following 2 articles:
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