Convergence of Discrete Time Option Pricing Models Under Stochastic Interest Rates

Jean-Philippe Lesne, Jean-Luc Prigent and Olivier Scaillet
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Jean-Philippe Lesne: Crest

No 98-51, Working Papers from Center for Research in Economics and Statistics

Date: 1998
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http://crest.science/RePEc/wpstorage/1998-51.pdf Crest working paper version (application/pdf)

Related works:
Journal Article: Convergence of discrete time option pricing models under stochastic interest rates (2000)
Working Paper: Convergence of discrete time option pricing models under stochastic interest rates (2000)
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