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 entities
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
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Article (Published version)
Identifiers
- PID : unige:41805
- DOI : 10.1007/s007800050004
Additional URL for this publicationhttp://link.springer.com/article/10.1007%2Fs007800050004#page-1