Convergence of discrete time option pricing models under stochastic interest rates

DOI10.1007/S007800050004zbMATH Open0947.60021OpenAlexW2011725241MaRDI QIDQ1979079FDOQ1979079

J. L. 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

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• scientific article; zbMATH DE number 797368
• CONVERGENCE OF AMERICAN OPTION VALUES FROM DISCRETE‐ TO CONTINUOUS‐TIME FINANCIAL MODELS¹
• On the rate of convergence of prices of barrier options with discrete and continuous time
• Convergence in incomplete market models
• On the rate of convergence of discrete-time contingent claims.

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)

Cited In (14)

• Title not available (Why is that?)
• The dynamics of implied volatilities: a common principal components approach
• On the rate of convergence of prices of barrier options with discrete and continuous time
• On the rate of convergence of discrete-time contingent claims.
• A GENERAL SUBORDINATED STOCHASTIC PROCESS FOR DERIVATIVES PRICING
• Efficient calibration of trinomial trees for one-factor short rate models
• Title not available (Why is that?)
• Title not available (Why is that?)
• The rate of convergence of option prices when general martingale discrete-time scheme approximates the Black–Scholes model
• CONVERGENCE OF AMERICAN OPTION VALUES FROM DISCRETE‐ TO CONTINUOUS‐TIME FINANCIAL MODELS¹
• Convergence rates results for recovering the volatility term structure including at-the-money options
• Convergence of optimal strategies in a discrete time market with finite horizon
• Convergence of discretized stochastic (interest rate) processes with stochastic drift term
• Convergence of option rewards for multivariate price processes

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