Weak convergence of tree methods to price options on defaultable assets
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Publication:1770202
DOI10.1007/s10203-004-0043-4zbMath1105.91306OpenAlexW2022703831MaRDI QIDQ1770202
Johannes W. Nieuwenhuis, Michel H. Vellekoop
Publication date: 11 April 2005
Published in: Decisions in Economics and Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s10203-004-0043-4
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Related Items (2)
Weak convergence of equity derivatives pricing with default risk ⋮ Stochastic approximation methods for American type options
Cites Work
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- When Does Convergence of Asset Price Processes Imply Convergence of Option Prices?
- From Discrete‐ to Continuous‐Time Finance: Weak Convergence of the Financial Gain Process1
- Option pricing when underlying stock returns are discontinuous
- SYMMETRIES IN JUMP-DIFFUSION MODELS WITH APPLICATIONS IN OPTION PRICING AND CREDIT RISK
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