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Stability of option prices under uniform ellipticity

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  • Gagnon, Gregory

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.

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  • Gagnon, Gregory, 2002. "Stability of option prices under uniform ellipticity," Statistics & Probability Letters, Elsevier, vol. 59(4), pages 361-365, October.
    • Handle: RePEc:eee:stapro:v:59:y:2002:i:4:p:361-365
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    References listed on IDEAS

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    1. Summers, Lawrence H, 1986. "Does the Stock Market Rationally Reflect Fundamental Values?," Journal of Finance, American Finance Association, vol. 41(3), pages 591-601, July.
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