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Rate of convergence of option prices for approximations of the geometric OrnsteinâUhlenbeck process by Bernoulli jumps of prices on assets
Mishura, Yu. S., Munchak, Ye. Yu.Volume:
93
Journal:
Theory of Probability and Mathematical Statistics
DOI:
10.1090/tpms/999
Date:
February, 2017
File:
PDF, 224 KB
2017