Stability of option prices under uniform ellipticity

Gregory Gagnon

Statistics & Probability Letters, 2002, vol. 59, issue 4, 361-365

Abstract: It is shown that uniform ellipticity implies stability of the price of a European call option under small random perturbations of the volatility matrix.

Keywords: European; call; option; Randomly; perturbed; dynamical; system (search for similar items in EconPapers)
Date: 2002
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