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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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Bibliographic Details
Date:	2008
Main Authors:	Mishura, Yu. S., Soloveiko, O. M., Мішура, Ю. С., Соловейко, О. М.
Format:	Article
Language:	Ukrainian English
Published:	Institute of Mathematics, NAS of Ukraine 2008
Online Access:	https://umj.imath.kiev.ua/index.php/umj/article/view/3225
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Journal Title:	Ukrains’kyi Matematychnyi Zhurnal
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