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the Liapunov version of central limit theorem |
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 |