Journal Articles Finance and Stochastics Year : 2000

Convergence of discrete time option pricing models under stochastic interest rates

J.-P. Lesne
  • Function : Author
O. Scaillet
  • Function : Author

Dates and versions

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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