Journal Articles Finance and Stochastics Year : 2000

Convergence of discrete time option pricing models under stochastic interest rates

J.-P. Lesne
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Jean-Luc Prigent
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Théorie économique, modélisation et applications
O. Scaillet
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Mathematics [math] Humanities and Social Sciences Statistics [stat] Quantitative Finance [q-fin]

Jean-Luc Prigent  : Connect in order to contact the contributor

https://cyu.hal.science/hal-03679673

Submitted on : Thursday, May 26, 2022-10:59:33 PM

Last modification on : Monday, April 8, 2024-10:40:51 AM

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hal-03679673 , version 1 (26-05-2022)

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J.-P. Lesne, Jean-Luc Prigent, O. Scaillet. Convergence of discrete time option pricing models under stochastic interest rates. Finance and Stochastics, 2000, 4 (1), pp.81-93. ⟨10.1007/s007800050004⟩. ⟨hal-03679673⟩

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