Convergence of discrete time option pricing models under stochastic interest rates

DOI10.1007/s007800050004zbMath0947.60021OpenAlexW2011725241MaRDI QIDQ1979079

Jean-Luc Prigent, J.-P. Lesne, Olivier Scaillet

Publication date: 24 May 2000

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

Full work available at URL: https://archive-ouverte.unige.ch/unige:41805

zbMATH Keywords

weak convergenceincomplete marketoption pricingstochastic interest rateminimal martingale measuretrinomial tree

Mathematics Subject Classification ID

Central limit and other weak theorems (60F05) Stochastic models in economics (91B70) Derivative securities (option pricing, hedging, etc.) (91G20)

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