The limit value of the price of a European call option in the binomial model
Author:
S. O. Gorovyĭ
Translated by:
Oleg Klesov
Journal:
Theor. Probability and Math. Statist. 74 (2007), 25-28
MSC (2000):
Primary 91B28; Secondary 91B62
DOI:
https://doi.org/10.1090/S0094-9000-07-00694-1
Published electronically:
June 25, 2007
MathSciNet review:
2336775
Full-text PDF Free Access
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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
- Robert J. Elliott and P. Ekkehard Kopp, Mathematics of Financial Markets, Springer-Verlag, New York, 1999. MR 1674047 (2000b:91067)
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Additional Information
S. O. Gorovyĭ
Affiliation:
Department of Probability Theory and Mathematical Statistics, Faculty for Mathematics and Mechanics, National Taras Shevchenko University, Glushkov Avenue, 6, Kyiv, 03127, Ukraine
Email:
sg@univ.kiev.ua
Keywords:
The price of an option,
European option,
binomial model
Received by editor(s):
January 19, 2005
Published electronically:
June 25, 2007
Article copyright:
© Copyright 2007
American Mathematical Society
