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The limit value of the price of a European call option in the binomial model

Author(s): S. O. Gorovyi
Translated by: Oleg Klesov
Original publication: Teoriya Imovirnostei ta Matematichna Statistika, vipusk 74 (2006).
Journal: Theor. Probability and Math. Statist. No. 74 (2007), 25-28.
MSC (2000): Primary 91B28; Secondary 91B62
Posted: June 25, 2007
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Abstract: We find the limit value of the price of a European call option in the binomial model if the strike price does not change but the number of steps in the model tends to infinity. We assume that the market is arbitrage free.

References:

1.: Robert J. Elliott and P. Ekkehard Kopp, Mathematics of Financial Markets, Springer-Verlag, New York, 1999. MR 1674047 (2000b:91067)


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