Rate of convergence of the price of European option on a market for which the jump of stock price is uniformly distributed over an interval

DOI10.1007/S11253-009-0128-XzbMATH Open1164.62424OpenAlexW2044359596MaRDI QIDQ3607376FDOQ3607376

Authors: O. M. Solovejko, Yuliya S. Mishura 

Publication date: 28 February 2009

Published in: Ukrainian Mathematical Journal (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11253-009-0128-x

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zbMATH Keywords

Black-Scholes price

Mathematics Subject Classification ID

Asymptotic distribution theory in statistics (62E20) Applications of statistics to actuarial sciences and financial mathematics (62P05)

Cited In (3)

• Rate of convergence of option prices by using the method of pseudomoments
• Conditions of convergence of European option prices in the Black-Scholes model
• Rate of convergence of option prices for approximations of the geometric Ornstein-Uhlenbeck process by Bernoulli jumps of prices on assets

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