Now showing items 1-1 of 1

    • A European option general first-order error formula 

      Leduc, Guillaume (Cambridge, 2013)
      We study the value of European security derivatives in the Black-Scholes model, when the underlying asset 𝛏 is approximated by random walks 𝛏(𝑛). We obtain an explicit error formula, up to a term of order 𝒪(𝑛⁻³/² ), ...