Rate of convergence of the price of European option on a market for which the jump of stock price is uniformly distributed over an interval

DOI10.1007/S11253-009-0128-XzbMath1164.62424OpenAlexW2044359596MaRDI QIDQ3607376

O. M. Solovejko, Yuliya S. Mishura

Publication date: 28 February 2009

Published in: Ukrainian Mathematical Journal (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11253-009-0128-x

zbMATH Keywords

Black-Scholes price

Mathematics Subject Classification ID

Asymptotic distribution theory in statistics (62E20) Applications of statistics to actuarial sciences and financial mathematics (62P05)

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