On the rate of convergence of barrier option prices in binomial market to those in continuous time market

Olena Soloveiko, Georgiy Shevchenko

Department of Probability Theory and Mathematical Statistics, Kyiv National Taras Shevchenko University, Kyiv, Ukraine

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

Ключевые слова: Barrier option, fair price, complete market, binomial market, Black–Scholes market.

MSC: Primary 91B28; Secondary 60G50, 60F05

Язык публикации: английский

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