Stock market as a dynamic game with continuum of players
The rate of convergence of option prices when general martingale discrete-time scheme approximates the Black-Scholes model
We take the martingale central limit theorem that was established, together with the rate of convergence, by Liptser and Shiryaev, and adapt it to the multiplicative scheme of financial markets with discrete time that converge to the standard Black-Scholes model. The rate of convergence of put and call option prices is shown to be bounded by . To improve the rate of convergence, we suppose that the increments are independent and identically distributed (but without binomial or similar restrictions...
Updating wealth in an asset pricing model with heterogeneous agents.
Valuation for an American continuous-installment put option on bond under Vasicek interest rate model.
Valuation of game options in jump-diffusion model and with applications to convertible bonds.
Valuing time-dependent CEV barrier options.