The rate of convergence of option prices when general martingale discrete-time scheme approximates the Black–Scholes model (Q5245478)
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scientific article; zbMATH DE number 6423521
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | The rate of convergence of option prices when general martingale discrete-time scheme approximates the Black–Scholes model |
scientific article; zbMATH DE number 6423521 |
Statements
The rate of convergence of option prices when general martingale discrete-time scheme approximates the Black–Scholes model (English)
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8 April 2015
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Black-Scholes model
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martingale discrete-time scheme
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martingale central limit theorem
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convergence rates
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