Convergence of discrete time option pricing models under stochastic interest rates

J.-P. Lesne, Jean-Luc Prigent and Olivier Scaillet

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Date: 2000-01-01
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Published in Finance and Stochastics, 2000, 4 (1), pp.81-93. ⟨10.1007/s007800050004⟩

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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 (1998)
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Persistent link: https://EconPapers.repec.org/RePEc:hal:journl:hal-03679673

DOI: 10.1007/s007800050004

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