When does convergence of asset price processes imply convergence of option prices?

Mathematical Finance

Volumn 8, Issue 4, 1998, Pages 385-403

  Hubalek, Friedrich ^a,b   Schachermayer, Walter ^a  

^a VIENNA UNIVERSITY OF TECHNOLOGY   (Austria)

^b UNIVERSITY OF VIENNA   (Austria)

Author keywords

Asymptotic arbitrage; Binomial models; Contiguity; Option prices; Weak convergence

Indexed keywords

EID: 0032327044     PISSN: 09601627     EISSN: None     Source Type: Journal    
DOI: 10.1111/1467-9965.00060     Document Type: Article

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