Rate of convergence of the price of European option on a market for which the jump of stock price is uniformly distributed over an interval
We consider a model of the market such that a jump of share price is uniformly distributed on some symmetric interval and establish the rate of convergence of fair prices of European options by using the theorem on asymptotic decompositions of distribution function for the sum of independent identic...
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| Date: | 2008 |
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| Main Authors: | , , , |
| Format: | Article |
| Language: | Ukrainian English |
| Published: |
Institute of Mathematics, NAS of Ukraine
2008
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| Online Access: | https://umj.imath.kiev.ua/index.php/umj/article/view/3225 |
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| Journal Title: | Ukrains’kyi Matematychnyi Zhurnal |
| Download file: |  |