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Convergence of discrete time option pricing models under stochastic interest rates · Study

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ArticleConvergence of discrete time option pricing models under stochastic interest rates

Jean‐Philippe Lesne2000

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Convergence of discrete time option pricing models under stochastic interest rates

Jean‐Philippe Lesne · Jean‐Luc Prigent · Olivier Scaillet B

20 citations·0/0 files stored·Finance and Stochastics

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Stochastic processes and financial applications Financial Markets and Investment Strategies Economic theories and models

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References

1973Theory of Rational Option Pricing 2005Theory of rational option pricing 1996A YIELD‐FACTOR MODEL OF INTEREST RATES 1990Pricing Interest-Rate-Derivative Securities 1990Numerical Methods for Stochastic Control Problems in Continuous Time 1987Limit Theorems for Stochastic Processes 1990Hedging of contingent claims under incomplete information 1992Numerical Methods for Stochastic Control Problems in Continuous Time

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1999Incomplete markets: convergence of options values under the minimal martingale measurearticle · 9 shared references 2004ANNIVERSARY ARTICLE: Option Pricing: Valuation Models and Applicationsarticle · 8 shared references 2004Option Pricing: Valuation Models and Applicationsarticle · 7 shared references 2000Conservative delta hedgingarticle · 7 shared references 1991Toward A Convergence Theory For Continuous Stochastic Securities Market Models1article · 7 shared references 1997Weighted norm inequalities and hedging in incomplete marketsarticle · 6 shared references

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Year2000

Typearticle

Published2000-01-01

VenueFinance and Stochastics

ISSN-L0949-2984

Languageen

Citations20

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.1007/s007800050004

openalex_workW2011725241

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