Bernstein's inequalities and their extensions for getting the Black-Scholes option pricing formula

DOI10.1016/J.SPL.2016.01.002zbMath1338.91140OpenAlexW2231187281MaRDI QIDQ273845

Anna Glazyrina, Alexander V. Melnikov

Publication date: 22 April 2016

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

Full work available at URL: https://doi.org/10.1016/j.spl.2016.01.002

zbMATH Keywords

rate of convergenceoption pricingBlack-Scholes formulaBernstein's inequalitiesbinomial modelCox-Ross-Rubinstein formula

Mathematics Subject Classification ID

Gaussian processes (60G15) Derivative securities (option pricing, hedging, etc.) (91G20) Rate of convergence, degree of approximation (41A25)

Related Items (1)

The analytical solution for the Black-Scholes equation with two assets in the Liouville-Caputo fractional derivative sense

Cites Work

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• The Pricing of Options and Corporate Liabilities
• Smooth convergence in the binomial model
• A Complete Proof of Universal Inequalities for the Distribution Function of the Binomial Law
• Generalized Cox-Ross-Rubinstein Binomial Models
• Option pricing: A simplified approach

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