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Gamma-type operators and the Black-Scholes semigroup. (English) Zbl 1215.41008

The authors study gamma type operators from the analytic and probabilistic point of view in the weighted continuous function spaces and establish the rate of convergence. A quantitative version of the classical Trotter approximation theorem is also obtained. The semigroup itself is of interest since it is generated by Black-Scholes operators, frequently occurring in the theory of option pricing in mathematical finance.

MSC:

41A35 Approximation by operators (in particular, by integral operators)
47D06 One-parameter semigroups and linear evolution equations
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