Constructing discrete approximations algorithms for financial calculus from weak convergence results

DOI10.1142/9789814313179_0058zbMath1273.91446OpenAlexW2327161481MaRDI QIDQ4919475

Radu S. Tunaru

Publication date: 14 May 2013

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

Full work available at URL: https://doi.org/10.1142/9789814313179_0058

zbMATH Keywords

weak convergencelocal limit theoremdense setEuropean option pricing

Mathematics Subject Classification ID

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

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