Rate of convergence of option prices for approximations of...

Rate of convergence of option prices for approximations of the geometric Ornstein–Uhlenbeck process by Bernoulli jumps of prices on assets

Mishura, Yu. S., Munchak, Ye. Yu.
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Volume:
93
Journal:
Theory of Probability and Mathematical Statistics
DOI:
10.1090/tpms/999
Date:
February, 2017
File:
PDF, 224 KB
2017
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