L. Vostrikova

activity

20092020

most citedUtility maximisation and utility indifference price for exponential semi-martingale models with random factor

2 citations · 4 across the 12 of their papers we have counts for

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Showing 2009Show all

3 papers · 1 filter

math.PR2009★ 1 cited

On continuity properties for option prices in exponential Lévy models

S. Cawston, L. Vostrikova

For a converging sequence of exponential Lévy models, we give conditions under which the associated sequence of option prices converges. We also study the behaviour of the prices w…

math.PR2009

On the stability of call/put option's prices in incomplete models under statistical estimations

L. Vostrikova

In exponential semi-martingale setting for risky asset we estimate the difference of prices of options when initial physical measure $P$ and corresponding martingale measure $Q$ ch…

math.PR2009

On regularity properties of Bessel flow

L. Vostrikova

We study the differentiability of Bessel flow $ρ : x \to ρ_{t}^{x}$ , where $(ρ_{t}^{x})_{t \geq 0}$ is BES $^{x} (δ$ ) process of dimension $δ > 1$ starting from $x$ . For $δ \geq 2$ we prove the ex…