| dc.contributor.author | Leduc, Guillaume | |
| dc.date.accessioned | 2020-06-02T09:28:15Z | |
| dc.date.available | 2020-06-02T09:28:15Z | |
| dc.date.issued | 2016 | |
| dc.identifier.citation | Leduc, Guillaume. (2016) “Option convergence rate with geometric random walks approximations.” Stochastic Analysis and Applications, 34:5, 767-791, DOI: 10.1080/07362994.2016.1171721 | en_US |
| dc.identifier.issn | 1532-9356 | |
| dc.identifier.uri | http://hdl.handle.net/11073/16666 | |
| dc.description.abstract | We describe a broad setting under which, for European options, if the underlying asset form a geometric random walk then, the error with respect to the Black–Scholes model converges to zero at a speed of 1/𝑛 for continuous payoffs functions, and at a speed of 1∕√𝑛 for discontinuous payoffs functions. | en_US |
| dc.language.iso | en_US | en_US |
| dc.publisher | Taylor & Frances Online | en_US |
| dc.relation.uri | https://doi.org/10.1080/07362994.2016.1171721 | en_US |
| dc.subject | Risk neutral random walk | en_US |
| dc.subject | Rate of convergence | en_US |
| dc.subject | European digital options | en_US |
| dc.subject | Black–Scholes | en_US |
| dc.title | Option convergence rate with geometric random walks approximations | en_US |
| dc.type | Peer-Reviewed | en_US |
| dc.type | Article | en_US |
| dc.type | Published version | en_US |
| dc.identifier.doi | 10.1080/07362994.2016.1171721 | |
