Geodesic
Sensitivity of the Black--Scholes Option Price to the Local Path
Informatics and Automation, Stochastic financial mathematics, Tome 237 (2002), pp. 234-248.

Voir la notice de l'article provenant de la source Math-Net.Ru

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. 
@article{TRSPY_2002_237_a13,
     author = {P. Cheridito},
     title = {Sensitivity of the {Black--Scholes} {Option} {Price} to the {Local} {Path}},
     journal = {Informatics and Automation},
     pages = {234--248},
     publisher = {mathdoc},
     volume = {237},
     year = {2002},
     language = {en},
     url = {http://geodesic.mathdoc.fr/item/TRSPY_2002_237_a13/}
}
TY  - JOUR
AU  - P. Cheridito
TI  - Sensitivity of the Black--Scholes Option Price to the Local Path
JO  - Informatics and Automation
PY  - 2002
SP  - 234
EP  - 248
VL  - 237
PB  - mathdoc
UR  - http://geodesic.mathdoc.fr/item/TRSPY_2002_237_a13/
LA  - en
ID  - TRSPY_2002_237_a13
ER  - 
%0 Journal Article
%A P. Cheridito
%T Sensitivity of the Black--Scholes Option Price to the Local Path
%J Informatics and Automation
%D 2002
%P 234-248
%V 237
%I mathdoc
%U http://geodesic.mathdoc.fr/item/TRSPY_2002_237_a13/
%G en
%F TRSPY_2002_237_a13
P. Cheridito. Sensitivity of the Black--Scholes Option Price to the Local Path. Informatics and Automation, Stochastic financial mathematics, Tome 237 (2002), pp. 234-248. http://geodesic.mathdoc.fr/item/TRSPY_2002_237_a13/

[1] Black F., Scholes M., “The pricing of options and corporate liabilities”, J. Polit. Econ., 81 (1973), 637–654 | DOI | Zbl

[2] Brigo D., Mercurio F., “Option pricing impact of alternative continuous-time dynamics for discretely-observed stock prices”, Fin. and Stoch., 4:2 (2000), 147–159 | DOI | MR | Zbl

[3] Cheridito P., Regularizing fractional Brownian motion with a view towards stock price modelling, Doct. diss. ETH Zürich, 2001 ; http://www.math.ethz.ch/~dito | Zbl

[4] Delbaen F., Schachermayer W., “A general version of the fundamental theorem of asset pricing”, Math. Ann., 300 (1994), 463–520 | DOI | MR | Zbl

[5] Einstein A., “Über die von der molekularkinetischen Theorie der Wärme geforderte Bewegung von in ruhenden Flüssigkeiten suspendierten Teilchen”, Ann. Phys., 17 (1905), 549–560 | DOI | Zbl

[6] Gallus C., “Robustness of hedging strategies for European options”, Stochastic processes and related topics, Proc. 10th Winter School (Siegmundsberg, Germany, 1994), Stoch. Monogr., 10, eds. H.-J. Engelbert et al., Gordon and Breach, Amsterdam, 1996, 23–31 | MR | Zbl

[7] Harrison J. M., Pliska S. P., “Martingales and stochastic integrals in the theory of continuous trading”, Stoch. Process. and Appl., 11 (1981), 215–260 | DOI | MR | Zbl

[8] Harrison J. M., Pitbladdo R., Schaefer S. M., “Continuous price processes in frictionless markets have infinite variation”, J. Business, 57 (1984), 353–365 | DOI

[9] Hubalek F., Schachermayer W., “When does convergence of asset price processes imply convergence of option prices?”, Math. Fin., 8:4 (1998), 385–403 | DOI | MR | Zbl

[10] Karatzas I., Shreve S. E., Brownian motion and stochastic calculus, Grad. Texts Math., 113, Springer, New York etc., 1991 | MR | Zbl

[11] Protter Ph., Stochastic integration and differential equations. A new approach, Appl. Math., 21, Springer, Berlin, 1990 | MR | Zbl

[12] Revuz D., Yor M., Continuous martingales and Brownian motion, Grad. Texts Math., 293, Springer, Berlin, 1999 | MR | Zbl

[13] Samuelson P. A., “Rational theory of warrant pricing”, Indust. Manag. Rev., 6:2 (1965), 13–31