Discrete-Time Approximations and Limit Theorems

DOI10.1515/9783110654240zbMath1503.60002OpenAlexW3210170297MaRDI QIDQ5004619

Kostiantyn Ralchenko, Yuliya S. Mishura

Publication date: 2 August 2021

Full work available at URL: https://doi.org/10.1515/9783110654240

zbMATH Keywords

asset pricingoption pricingapproximationBlack-Scholes modellimit theoremsfinancial marketsdiscrete-time modelcontinuous-time models

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Central limit and other weak theorems (60F05) Introductory exposition (textbooks, tutorial papers, etc.) pertaining to probability theory (60-01) Interest rates, asset pricing, etc. (stochastic models) (91G30) Derivative securities (option pricing, hedging, etc.) (91G20) Functional limit theorems; invariance principles (60F17) Introductory exposition (textbooks, tutorial papers, etc.) pertaining to game theory, economics, and finance (91-01) Financial markets (91G15)

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