scientific article; zbMATH DE number 1971704

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Publication:4421351

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zbMath1081.60524MaRDI QIDQ4421351

Owen D. Walsh, John B. Walsh

Publication date: 2002

Title: zbMATH Open Web Interface contents unavailable due to conflicting licenses.

Mathematics Subject Classification ID

Brownian motion (60J65) Applications of stochastic analysis (to PDEs, etc.) (60H30) Stopping times; optimal stopping problems; gambling theory (60G40) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (5)

Diffusion approximation of recurrent schemes for financial markets, with application to the Ornstein-Uhlenbeck process ⋮ Asymptotics of the price oscillations of a European call option in a tree model ⋮ Smooth convergence in the binomial model ⋮ Rate of convergence of option prices by using the method of pseudomoments ⋮ The rate of convergence of option prices on the asset following a geometric Ornstein-Uhlenbeck process

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