ON THE RATE OF CONVERGENCE OF BARRIER OPTION PRICES IN BINOMIAL MARKET TO THOSE IN CONTINUOUS TIME MARKET

OLENA SOLOVEIKO AND GEORGIY SHEVCHENKO

Theory of Stochastic Processes Vol.14 (30), no.3-4, 2008, pp.165-173

We estimate the rate of convergence of barrier option price in a discrete time binomial market to such in a continuous time market.

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