The Central Limit Theorem

F. Galton

Chapter Chapter 13 in Mathematical Finance and Probability, 2003, pp 221-246 from Springer

Abstract: Abstract The Central Limit Theorem is one of the classical results in statistics with many applications in actuarial mathematics, finance, and risk management and a host of other not necessarily economic disciplines. In Chapter 14 we will apply it to the derivation of the Black—Scholes formula from the binomial Cox—Ross—Rubinstein model. In this chapter we present a special version of the Central Limit Theorem which is also known as the Theorem of de Moivre—Laplace. A complete proof of the theorem will be given in an appendix.

Keywords: Probability Measure; Central Limit Theorem; Weak Convergence; Open Interval; Discrete Random Variable (search for similar items in EconPapers)
Date: 2003
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DOI: 10.1007/978-3-0348-8041-1_13

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