CONVERGENCE OF AMERICAN OPTION VALUES FROM DISCRETE‐ TO CONTINUOUS‐TIME FINANCIAL MODELS1
CONVERGENCE OF AMERICAN OPTION VALUES FROM DISCRETE‐ TO CONTINUOUS‐TIME FINANCIAL MODELS1
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DOI：
10.1111/j.1467-9965.1994.tb00059.x
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发表时间：
1994-10
影响因子：
1.6
通讯作者：
Kaushik I. Amin;Ajay Khanna
中科院分区：
文献类型：
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作者：
Kaushik I. Amin;Ajay Khanna
给定一系列离散时间期权定价模型，其中定义状态变量的过程序列弱收敛于扩散，我们证明了从这些离散时间模型获得的美式期权值序列也收敛于从金融/经济文献中的标准模型的连续时间模型获得的相应值。收敛性的证明延续到有限风险资产价格过程遵循扩散的情况下，除了它在某些固定日期支付离散股息。
Given a sequence of discrete-time option valuation models in which the sequence of processes defining the state variables converges weakly to a diffusion, we prove that the sequence of American option values obtained from these discrete-time models also converges to the corresponding value obtained from the continuous-time model for the standard models in the finance/economica literature. The convergence proof carries over to the case when the limiting risky asset price process follows a diffusion, except it pays discrete dividend\ on some fixed dates.