On the rate of convergence of barrier option prices in binomial market to those in continuous time market
We estimate the rate of convergence of barrier option price in a discrete time binomial market to such in a continuous time market.
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| Datum: | 2008 |
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| Hauptverfasser: | , |
| Format: | Artikel |
| Sprache: | English |
| Veröffentlicht: |
Інститут математики НАН України
2008
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| Online Zugang: | http://dspace.nbuv.gov.ua/handle/123456789/4575 |
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| Назва журналу: | Digital Library of Periodicals of National Academy of Sciences of Ukraine |
| Zitieren: | On the rate of convergence of barrier option prices in binomial market to those in continuous time market / O. Soloveiko, G. Shevchenko // Theory of Stochastic Processes. — 2008. — Т. 14 (30), № 3-4. — С. 165-173. — Бібліогр.: 8 назв.— англ. |
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