English, Article, Journal or magazine article edition: Convergence of Discrete Time Option Pricing Models under Stochastic Interest Rates Lesne, J.-P.; Prigent, J.-L.; Scaillet, O.

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Physical Description
  • preprint
Language
  • English

Edition details

Title
  • Convergence of Discrete Time Option Pricing Models under Stochastic Interest Rates
Author
  • Lesne, J.-P.
  • Prigent, J.-L.
  • Scaillet, O.
Physical Description
  • preprint
Notes
  • We analyze the joint convergence of sequences of discounted stock prices and Radon-Nicodym derivatives of the minimal martingale measure when interest rates are stochastic. Therefrom we deduce the convergence of option values in either complete or incomplete markets. We illustrate the general result by two main examples : a discrete time i.i.d. approximation of a Merton type pricing model for options on stocks and the trinomial tree of Hull and White for interest rate derivatives.
  • Weak convergence; incomplete market; option pricing; minimal martingale measure; stochastic interest rate; trinomial tree
  • RePEc:ctl:louvir:1998026
Language
  • English
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