The weak convergence of Greek symbols for prices of European options: from discrete time to continuous (Q2786948)

It is well known that the Black-Scholes model is approximated by the Cox-Ross-Rubinstein (CRR) model. This fact is used, for example, to find prices of contingent claims in the Black-Scholes model by an approximation procedure because in the CRR model one can use recursive procedures to find prices. In this paper it is proved that the so-called delta of a European call option in the symmetric CRR model converges to the Greek parameter delta of a European call option for the Black-Scholes model.