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Is the Approximation Rate for European Pay-offs in the Black–Scholes Model Always 1/ $$\sqrt{n}$$

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  • Mika Hujo

    (University of Jyväskylä)

Abstract

For a Borel-function $$f:\mathbb{R} \to \mathbb{R}$$ , we consider the approximation of a random variable f(W 1) with $$\mathbb{E}f^{2}(W_{1})

Suggested Citation

  • Mika Hujo, 2006. "Is the Approximation Rate for European Pay-offs in the Black–Scholes Model Always 1/ $$\sqrt{n}$$," Journal of Theoretical Probability, Springer, vol. 19(1), pages 190-203, January.
    • Handle: RePEc:spr:jotpro:v:19:y:2006:i:1:d:10.1007_s10959-006-0008-3
    DOI: 10.1007/s10959-006-0008-3
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    References listed on IDEAS

    as
    1. Emmanuel Temam & Emmanuel Gobet, 2001. "Discrete time hedging errors for options with irregular payoffs," Finance and Stochastics, Springer, vol. 5(3), pages 357-367.
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