Option Convergence Rate with Geometric Random Walks Approximations

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

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Year of publication:	2016
Authors:	Leduc, Guillaume
Publisher:	[2016]: [S.l.] : SSRN
Subject:	Random Walk \| Random walk \| Optionspreistheorie \| Option pricing theory \| Wahrscheinlichkeitsrechnung \| Probability theory \| Schätztheorie \| Estimation theory \| Stochastischer Prozess \| Stochastic process
Description of contents:	Abstract [papers.ssrn.com] ; Abstract [doi.org]

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Extent:	1 Online-Ressource
Type of publication:	Book / Working Paper
Language:	English
Notes:	In: Forthcoming in Stochastic Analysis and Applications Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments August 1, 2015 erstellt Volltext nicht verfügbar
Other identifiers:	10.2139/ssrn.2737395 [DOI]
Classification:	G13 - Contingent Pricing; Futures Pricing ; C02 - Mathematical Methods ; C63 - Computational Techniques
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10012998163