The rate of convergence of option prices when general martingale discrete-time scheme approximates the Black–Scholes model

DOI10.4064/bc104-0-8zbMath1338.60072OpenAlexW2315946137MaRDI QIDQ5245478

Publication date: 8 April 2015

Published in: Banach Center Publications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.4064/bc104-0-8

zbMATH Keywords

convergence rates Black-Scholes model martingale central limit theorem martingale discrete-time scheme

Mathematics Subject Classification ID

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Related Items (4)

Functional limit theorems for additive and multiplicative schemes in the Cox-Ingersoll-Ross model ⋮ Rate of convergence of option prices for approximations of the geometric Ornstein–Uhlenbeck process by Bernoulli jumps of prices on assets ⋮ Rate of convergence of option prices by using the method of pseudomoments ⋮ The rate of convergence of option prices on the asset following a geometric Ornstein-Uhlenbeck process

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