The weak convergence of Greek symbols for prices of European options: from discrete time to continuous
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Publication:2786948
DOI10.1090/tpms/969zbMath1335.91083OpenAlexW2497603107MaRDI QIDQ2786948
S. V. Kuchuk-Iatsenko, Yuliya S. Mishura
Publication date: 24 February 2016
Published in: Theory of Probability and Mathematical Statistics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1090/tpms/969
Central limit and other weak theorems (60F05) Derivative securities (option pricing, hedging, etc.) (91G20)
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- Smooth convergence in the binomial model
- Diffusion approximation of recurrent schemes for financial markets, with application to the Ornstein-Uhlenbeck process
- Option pricing: A simplified approach
- The Minimal Entropy Martingale Measure and the Valuation Problem in Incomplete Markets
- Stochastic finance. An introduction in discrete time
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