From Binomial to Black?Scholes Model
The result's identifiers
Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F25473361%3A_____%2F15%3A%230000794" target="_blank" >RIV/25473361:_____/15:#0000794 - isvavai.cz</a>
Result on the web
<a href="http://www.vsem.cz/data/data/ces-soubory/ekonomicke_listy/Ekonomicke_listy_3_15.pdf" target="_blank" >http://www.vsem.cz/data/data/ces-soubory/ekonomicke_listy/Ekonomicke_listy_3_15.pdf</a>
DOI - Digital Object Identifier
—
Alternative languages
Result language
angličtina
Original language name
From Binomial to Black?Scholes Model
Original language description
In this paper we newly formulate some conditions under which the binomial formula for the prices of European call options will be proved using the method of mathematical induction. Further we show, that using the Lyapunov version of central limit theorem, weak convergence of discrete model to continuous model be guaranteed.
Czech name
—
Czech description
—
Classification
Type
O - Miscellaneous
CEP classification
BA - General mathematics
OECD FORD branch
—
Result continuities
Project
—
Continuities
N - Vyzkumna aktivita podporovana z neverejnych zdroju
Others
Publication year
2015
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů