2 Rate of convergence of asset and option prices

2021 ◽  
pp. 109-242
1986 ◽  
Vol 23 (04) ◽  
pp. 1019-1024
Author(s):  
Walter Van Assche

The limit of a product of independent 2 × 2 stochastic matrices is given when the entries of the first column are independent and have the same symmetric beta distribution. The rate of convergence is considered by introducing a stopping time for which asymptotics are given.


2007 ◽  
Author(s):  
In Joon Kim ◽  
Geun Hyuk Chang ◽  
Suk-Joon Byun

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