The weak convergence of Greek symbols for prices of European options: from discrete time to continuous
Анотація
The behavior of the so-called âGreeksâ that characterize the financial market and assets on it for the BlackâScholes model is investigated in this paper. Discrete analogues of these quantities are introduced for the binomial model. The weak convergence of these analogues to the Greeks in the BlackâScholes model is established under the condition that the number of periods tends to infinity.
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