Asymptotic option price with bounded expected loss

DOI10.1016/j.jkss.2008.02.004zbMath1293.91182OpenAlexW2075391121MaRDI QIDQ2510032

Jongwoo Song, Seongjoo Song

Publication date: 31 July 2014

Published in: Journal of the Korean Statistical Society (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jkss.2008.02.004

zbMATH Keywords

weak convergenceoption pricingcompound Poisson processesbounded loss

Mathematics Subject Classification ID

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

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