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Convergence of strategies: An approach using Clark-Haussmann's formula

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Publication:1966382
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DOI10.1007/s007800050065zbMath1047.91035OpenAlexW2010502525MaRDI QIDQ1966382

Yanyan Li

Publication date: 1 March 2000

Published in: Finance and Stochastics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s007800050065


zbMATH Keywords

optionsBlack-Scholes modelbinomial modelsClark-Haussmann's formulagenerating strategy


Mathematics Subject Classification ID

Lua error in Module:PublicationMSCList at line 37: attempt to index local 'msc_result' (a nil value).


Related Items (3)

Practical partial equilibrium framework for pricing of mortality-linked instruments in continuous time ⋮ Discrete approximation of finite-horizon American-style options ⋮ CONVERGENCE OF EUROPEAN LOOKBACK OPTIONS WITH FLOATING STRIKE IN THE BINOMIAL MODEL




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