Option convergence rate with geometric random walks approximations

DOI10.1080/07362994.2016.1171721zbMath1410.91456OpenAlexW2281985830MaRDI QIDQ2821904

Guillaume Leduc

Publication date: 26 September 2016

Published in: Stochastic Analysis and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/07362994.2016.1171721

zbMATH Keywords

rate of convergenceBlack-ScholesEuropean digital optionsrisk neutral random walk

Mathematics Subject Classification ID

Sums of independent random variables; random walks (60G50) Applications of Markov chains and discrete-time Markov processes on general state spaces (social mobility, learning theory, industrial processes, etc.) (60J20) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (2)

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Cites Work

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• Option pricing: A simplified approach

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