Diffusion approximation in past dependent models and applications to option pricing

DOI10.1214/aoap/1177005873zbMath0734.60035OpenAlexW2060207214MaRDI QIDQ811003

Wolfgang J. Runggaldier, Robert Sh. Liptser, Paolo Kind

Publication date: 1991

Published in: The Annals of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1214/aoap/1177005873

zbMATH Keywords

diffusion approximationquadratic variation processGauss-Markov diffusiongeneralized Black and Scholes formulamodel of option pricing

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Functional limit theorems; invariance principles (60F17)

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