Convergence of discrete time option pricing models under stochastic interest rates

DOI10.1007/S007800050004MaRDI QIDQ1979079zbMATH OpenOpenAlexFDO

Authors J.-P. Lesne, J. L. Prigent, 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

zbMATH Keywords

option pricingweak convergenceincomplete marketstochastic interest rateminimal martingale measuretrinomial tree

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Central limit and other weak theorems (60F05) Stochastic models in economics (91B70)

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• Convergence rates results for recovering the volatility term structure including at-the-money options
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• Convergence of option rewards for multivariate price processes
• A GENERAL SUBORDINATED STOCHASTIC PROCESS FOR DERIVATIVES PRICING
• On the rate of convergence of discrete-time contingent claims.
• On the rate of convergence of prices of barrier options with discrete and continuous time
• Convergence of optimal strategies in a discrete time market with finite horizon
• CONVERGENCE OF AMERICAN OPTION VALUES FROM DISCRETE‐ TO CONTINUOUS‐TIME FINANCIAL MODELS¹
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• The dynamics of implied volatilities: a common principal components approach
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