Is the Approximation Rate for European Pay-offs in the Black–Scholes Model Always 1/ $$\sqrt{n}$$

Mika Hujo ()
Additional contact information
Mika Hujo: University of Jyväskylä

Journal of Theoretical Probability, 2006, vol. 19, issue 1, 190-203

Abstract: Abstract For a Borel-function $$f:\mathbb{R} \to \mathbb{R}$$ , we consider the approximation of a random variable f(W 1) with $$\mathbb{E}f^{2}(W_{1})

Keywords: Stochastic integral; Hermite polynomial; approximation; variance optimal hedge (search for similar items in EconPapers)
Date: 2006
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
http://link.springer.com/10.1007/s10959-006-0008-3 Abstract (text/html)
Access to the full text of the articles in this series is restricted.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:spr:jotpro:v:19:y:2006:i:1:d:10.1007_s10959-006-0008-3

Ordering information: This journal article can be ordered from
https://www.springer.com/journal/10959

DOI: 10.1007/s10959-006-0008-3

Access Statistics for this article

Journal of Theoretical Probability is currently edited by Andrea Monica

More articles in Journal of Theoretical Probability from Springer
Bibliographic data for series maintained by Sonal Shukla () and Springer Nature Abstracting and Indexing ().