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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