Search

Your search keyword '"Anna Glazyrina"' showing total 1 results
Start Over Author "Anna Glazyrina" Journal statistics & probability letters
1 results on '"Anna Glazyrina"'

1. Bernstein’s inequalities and their extensions for getting the Black–Scholes option pricing formula

Author

Alexander Melnikov and Anna Glazyrina

Subjects
040101 forestry, Statistics and Probability, Inequality, media_common.quotation_subject, 04 agricultural and veterinary sciences, Black–Scholes model, 01 natural sciences, Binomial distribution, 010104 statistics & probability, Rate of convergence, Valuation of options, 0401 agriculture, forestry, and fisheries, Finite difference methods for option pricing, Binomial options pricing model, 0101 mathematics, Statistics, Probability and Uncertainty, Black–Scholes equation, Mathematical economics, Mathematics, media_common
Abstract

In this paper we show how the results of Bernstein (1943) and recent results of Zubkov and Serov (2012) on the normal approximation to the binomial distribution lead to an alternative derivation of the Black–Scholes formula from a binomial option pricing model.

Published
2016

Catalog

Books, media, physical & digital resources
See catalog results