Bernstein’s inequalities and their extensions for getting the Black–Scholes option pricing formula

Anna Glazyrina and Alexander Melnikov

Statistics & Probability Letters, 2016, vol. 111, issue C, 86-92

Abstract: In this paper we show how the results of Bernstein (1943) and recent results of Zubkov and Serov (2012) on the normal approximation to the binomial distribution lead to an alternative derivation of the Black–Scholes formula from a binomial option pricing model.

Keywords: Bernstein’s inequalities; Option pricing; Binomial model; Cox–Ross–Rubinstein formula; Black–Scholes formula; Rate of convergence (search for similar items in EconPapers)
Date: 2016
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Persistent link: https://EconPapers.repec.org/RePEc:eee:stapro:v:111:y:2016:i:c:p:86-92

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DOI: 10.1016/j.spl.2016.01.002

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