Stability of option prices under uniform ellipticity

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

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Year of publication:	2002
Authors:	Gagnon, Gregory
Published in:	Statistics & Probability Letters. - Elsevier, ISSN 0167-7152. - Vol. 59.2002, 4, p. 361-365
Publisher:	Elsevier
Keywords:	European call option Randomly perturbed dynamical system

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005223312