From binomial to Black-Scholes model using
the Liapunov version of central limit theorem

V. Skřivánková and M. Kočan
Abstract:

In this paper a proof of the binomial formula for option pricing is presented using the method of mathematical induction. Weak convergence of this discrete model to the Black-Scholes model will be guaranteed by the Liapunov version of central limit theorem.

Contact the authors: skrivan@kosice.upjs.sk, kocan@science.upjs.sk

Download PDF version of the preprint.

Linked at Trading in Options & Futrues - Informative Articles About Trading Options & Futures



[Previous abstract][Index][Next abstract]