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/ for continuous payoffs functions, and at a speed of 1∕√ for discontinuous payoffs functions....
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| Format: | article |
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2016
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| Online Access: | http://hdl.handle.net/11073/16666 |
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| _version_ | 1864513438419517440 |
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| author | Leduc, Guillaume |
| author_facet | Leduc, Guillaume |
| author_role | author |
| dc.creator.none.fl_str_mv | Leduc, Guillaume |
| dc.date.none.fl_str_mv | 2016 2020-06-02T09:28:15Z 2020-06-02T09:28:15Z |
| dc.format.none.fl_str_mv | application/pdf |
| dc.identifier.none.fl_str_mv | 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 1532-9356 http://hdl.handle.net/11073/16666 10.1080/07362994.2016.1171721 |
| dc.language.none.fl_str_mv | en_US |
| dc.publisher.none.fl_str_mv | Taylor & Frances Online |
| dc.relation.none.fl_str_mv | https://doi.org/10.1080/07362994.2016.1171721 |
| dc.subject.none.fl_str_mv | Risk neutral random walk Rate of convergence European digital options Black–Scholes |
| dc.title.none.fl_str_mv | Option convergence rate with geometric random walks approximations |
| dc.type.none.fl_str_mv | Peer-Reviewed Published version info:eu-repo/semantics/publishedVersion info:eu-repo/semantics/article |
| description | 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/ for continuous payoffs functions, and at a speed of 1∕√ for discontinuous payoffs functions. |
| format | article |
| id | aus_61d49f5d62d72a9810b5a83d5979b615 |
| identifier_str_mv | 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 1532-9356 10.1080/07362994.2016.1171721 |
| language_invalid_str_mv | en_US |
| network_acronym_str | aus |
| network_name_str | aus |
| oai_identifier_str | oai:repository.aus.edu:11073/16666 |
| publishDate | 2016 |
| publisher.none.fl_str_mv | Taylor & Frances Online |
| repository.mail.fl_str_mv | |
| repository.name.fl_str_mv | |
| repository_id_str | |
| spelling | Option convergence rate with geometric random walks approximationsLeduc, GuillaumeRisk neutral random walkRate of convergenceEuropean digital optionsBlack–ScholesWe 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/ for continuous payoffs functions, and at a speed of 1∕√ for discontinuous payoffs functions.Taylor & Frances Online2020-06-02T09:28:15Z2020-06-02T09:28:15Z2016Peer-ReviewedPublished versioninfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/articleapplication/pdfLeduc, Guillaume. (2016) “Option convergence rate with geometric random walks approximations.” Stochastic Analysis and Applications, 34:5, 767-791, DOI: 10.1080/07362994.2016.11717211532-9356http://hdl.handle.net/11073/1666610.1080/07362994.2016.1171721en_UShttps://doi.org/10.1080/07362994.2016.1171721oai:repository.aus.edu:11073/166662024-08-22T12:01:58Z |
| spellingShingle | Option convergence rate with geometric random walks approximations Leduc, Guillaume Risk neutral random walk Rate of convergence European digital options Black–Scholes |
| status_str | publishedVersion |
| title | Option convergence rate with geometric random walks approximations |
| title_full | Option convergence rate with geometric random walks approximations |
| title_fullStr | Option convergence rate with geometric random walks approximations |
| title_full_unstemmed | Option convergence rate with geometric random walks approximations |
| title_short | Option convergence rate with geometric random walks approximations |
| title_sort | Option convergence rate with geometric random walks approximations |
| topic | Risk neutral random walk Rate of convergence European digital options Black–Scholes |
| url | http://hdl.handle.net/11073/16666 |