Rate of convergence of option prices for approximations of the geometric Ornstein-Uhlenbeck process by Bernoulli jumps of prices on assets (Q2960466)
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scientific article; zbMATH DE number 6682453
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| English | Rate of convergence of option prices for approximations of the geometric Ornstein-Uhlenbeck process by Bernoulli jumps of prices on assets |
scientific article; zbMATH DE number 6682453 |
Statements
Rate of convergence of option prices for approximations of the geometric Ornstein–Uhlenbeck process by Bernoulli jumps of prices on assets (English)
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9 February 2017
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financial market
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rate of convergence
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Ornstein-Uhlenbeck process
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option prices
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0.9123306274414062
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0.8198513388633728
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0.7961543202400208
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0.795787513256073
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