On the rate of convergence of prices of barrier options with discrete and continuous time

DOI10.1090/S0094-9000-09-00789-3zbMath1224.91164MaRDI QIDQ5391404

O. M. Solovejko, Georgiy M. Shevchenko

Publication date: 6 April 2011

Published in: Theory of Probability and Mathematical Statistics (Search for Journal in Brave)

zbMATH Keywords

Monte Carlo methodBlack-Scholes modelbarrier optionderivative securityup-and-out option

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Central limit and other weak theorems (60F05) Sums of independent random variables; random walks (60G50) Derivative securities (option pricing, hedging, etc.) (91G20)

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