On the uniform convergence of Cox-Ross-Rubinstein Formulas to the Black-Scholes formula / Jednostajna zbieżność formuł Coxa-Rossa-Rubinsteina do formuły Blacka-Scholesa
Journal Title: Bulletin de la Société des sciences et des lettres de Łódź, Série: Recherches sur les déformations - Year 2016, Vol 0, Issue 3
Abstract
We prove that the convergence of calibrated Cox-Ross-Rubinstein option price formulas to the Black-Scholes formula is uniform with respect to initial stock price s0 2 (∈; ∞)
Authors and Affiliations
Anna Chojnowska-Michalik, Emilia Fraszka-Sobczyk
Keywords
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