Richter's local limit theorem and Black-Scholes type formulas

DOI10.1016/J.SPL.2014.06.003zbMath1298.91162OpenAlexW2063780326MaRDI QIDQ2251714

Souha Fares, Manfred Denker

Publication date: 15 July 2014

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spl.2014.06.003

zbMATH Keywords

multinomial distributionlocal limit theoremsBlack-Scholes formula

Mathematics Subject Classification ID

Central limit and other weak theorems (60F05) Brownian motion (60J65) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (1)

Multi-period multi-criteria (MPMC) valuation of American options based on entropy optimization principles

Cites Work

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• The Pricing of Options and Corporate Liabilities
• On option pricing in the multidimensional Cox-Ross-Rubinstein model
• Asymptotics of riskless profit under selling of discrete time call options
• A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
• Option pricing: A simplified approach
• Wahrscheinlichkeitstheorie

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