Option convergence rate with geometric random walks approximations (Q2821904)
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scientific article; zbMATH DE number 6629608
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| default for all languages | No label defined |
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| English | Option convergence rate with geometric random walks approximations |
scientific article; zbMATH DE number 6629608 |
Statements
Option convergence rate with geometric random walks approximations (English)
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26 September 2016
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risk neutral random walk
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rate of convergence
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European digital options
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Black-Scholes
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0.8450191617012024
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0.8376033902168274
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0.8245669603347778
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0.8198513388633728
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