The rate of convergence of option prices on the asset following a geometric Ornstein–Uhlenbeck process
Author:
Publisher
Springer Science and Business Media LLC
Subject
General Mathematics
Link
http://link.springer.com/content/pdf/10.1007/s10986-015-9270-3.pdf
Reference22 articles.
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3. M. Broadie, O. Glasserman, and S.J. Kou, Connecting discrete continuous path-dependent options, Finance Stoch., 3:55–82, 1999.
4. L.-B. Chang and K. Palmer, Smooth convergence in the binomial model, Finance Stoch., 1:91–105, 2007.
5. N.J. Cutland, E. Kopp, and W. Willinger, From discrete to continuous financial models: New convergence results for option pricing, Math. Finance, 2:101–123, 1993.
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