A European option general first-order error formula
We study the value of European security derivatives in the Black-Scholes model, when the underlying asset is approximated by random walks (). We obtain an explicit error formula, up to a term of order (⁻³/² ), which is valid for general approximating schemes and general payoff functions. We show how...
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| Format: | article |
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2013
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| Online Access: | http://hdl.handle.net/11073/16668 |
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