Bernstein's inequalities and their extensions for getting the Black-Scholes option pricing formula (Q273845): Difference between revisions
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The authors show an alternative derivation of the Black-Scholes formula for a European call option from the Cox-Ross-Rubinstein binomial formula by means of \textit{S. N. Bernstein}'s inequalities [Izv. Akad. Nauk SSSR, Ser. Mat. 7, 3--16 (1943; Zbl 0063.00339)] as well as \textit{A. M. Zubkov} and \textit{A. A. Serov}'s inequalities [Theory Probab. Appl. 57, No. 3, 539--544 (2013; Zbl 1280.60016); translation from Teor. Veroyatn. Primen. 57, No. 3, 597--602 (2012)]. Their results allow for a convergence rate \(1/\sqrt{n}\). | |||
| Property / review text: The authors show an alternative derivation of the Black-Scholes formula for a European call option from the Cox-Ross-Rubinstein binomial formula by means of \textit{S. N. Bernstein}'s inequalities [Izv. Akad. Nauk SSSR, Ser. Mat. 7, 3--16 (1943; Zbl 0063.00339)] as well as \textit{A. M. Zubkov} and \textit{A. A. Serov}'s inequalities [Theory Probab. Appl. 57, No. 3, 539--544 (2013; Zbl 1280.60016); translation from Teor. Veroyatn. Primen. 57, No. 3, 597--602 (2012)]. Their results allow for a convergence rate \(1/\sqrt{n}\). / rank | |||
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| Property / reviewed by | |||
| Property / reviewed by: Anatoliy Swishchuk / rank | |||
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| Property / Mathematics Subject Classification ID | |||
| Property / Mathematics Subject Classification ID: 91G20 / rank | |||
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| Property / Mathematics Subject Classification ID | |||
| Property / Mathematics Subject Classification ID: 41A25 / rank | |||
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| Property / Mathematics Subject Classification ID | |||
| Property / Mathematics Subject Classification ID: 60G15 / rank | |||
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| Property / zbMATH DE Number | |||
| Property / zbMATH DE Number: 6572385 / rank | |||
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| Property / zbMATH Keywords | |||
Bernstein's inequalities | |||
| Property / zbMATH Keywords: Bernstein's inequalities / rank | |||
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| Property / zbMATH Keywords | |||
option pricing | |||
| Property / zbMATH Keywords: option pricing / rank | |||
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binomial model | |||
| Property / zbMATH Keywords: binomial model / rank | |||
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| Property / zbMATH Keywords | |||
Cox-Ross-Rubinstein formula | |||
| Property / zbMATH Keywords: Cox-Ross-Rubinstein formula / rank | |||
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| Property / zbMATH Keywords | |||
Black-Scholes formula | |||
| Property / zbMATH Keywords: Black-Scholes formula / rank | |||
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| Property / zbMATH Keywords | |||
rate of convergence | |||
| Property / zbMATH Keywords: rate of convergence / rank | |||
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Revision as of 17:06, 27 June 2023
scientific article
| Language | Label | Description | Also known as |
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| English | Bernstein's inequalities and their extensions for getting the Black-Scholes option pricing formula |
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Statements
Bernstein's inequalities and their extensions for getting the Black-Scholes option pricing formula (English)
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22 April 2016
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The authors show an alternative derivation of the Black-Scholes formula for a European call option from the Cox-Ross-Rubinstein binomial formula by means of \textit{S. N. Bernstein}'s inequalities [Izv. Akad. Nauk SSSR, Ser. Mat. 7, 3--16 (1943; Zbl 0063.00339)] as well as \textit{A. M. Zubkov} and \textit{A. A. Serov}'s inequalities [Theory Probab. Appl. 57, No. 3, 539--544 (2013; Zbl 1280.60016); translation from Teor. Veroyatn. Primen. 57, No. 3, 597--602 (2012)]. Their results allow for a convergence rate \(1/\sqrt{n}\).
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Bernstein's inequalities
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option pricing
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binomial model
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Cox-Ross-Rubinstein formula
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Black-Scholes formula
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rate of convergence
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