Convergence of discrete time option pricing models under stochastic interest rates

Lesne, Jean-Philippe; Prigent, Jean-Luc; Scaillet, Olivier

doi:10.1007/s007800050004

Scientific article

Open access

English

Convergence of discrete time option pricing models under stochastic interest rates

ContributorsLesne, Jean-Philippe; Prigent, Jean-Luc; Scaillet, Olivier

Published inFinance and stochastics, vol. 4, no. 1, p. 81-93

Publication date2000

Affiliation

Faculté d'économie et de management / Geneva Finance Research Institute

Citation (ISO format)

LESNE, Jean-Philippe, PRIGENT, Jean-Luc, SCAILLET, Olivier. Convergence of discrete time option pricing models under stochastic interest rates. In: Finance and stochastics, 2000, vol. 4, n° 1, p. 81–93. doi: 10.1007/s007800050004

Article (Published version)

Identifiers

PID : unige:41805
DOI : 10.1007/s007800050004

Commercial URLhttp://link.springer.com/article/10.1007%2Fs007800050004#page-1

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Convergence of discrete time option pricing models under stochastic interest rates

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