Convergence of discrete time option pricing models under stochastic interest rates
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Publication:1979079
DOI10.1007/s007800050004zbMath0947.60021MaRDI QIDQ1979079
Jean-Luc Prigent, J.-P. Lesne, Olivier Scaillet
Publication date: 24 May 2000
Published in: Finance and Stochastics (Search for Journal in Brave)
Full work available at URL: https://archive-ouverte.unige.ch/unige:41805
weak convergence; incomplete market; option pricing; stochastic interest rate; minimal martingale measure; trinomial tree
60F05: Central limit and other weak theorems
91B70: Stochastic models in economics
91G20: Derivative securities (option pricing, hedging, etc.)
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