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math.PR2014
Strong approximation of Black--Scholes theory based on simple random walks
Zsolt Nika, Tamás Szabados
A basic model in financial mathematics was introduced by Black, Scholes and Merton in 1973 (BSM model). A classical discrete approximation in distribution is the binomial model giv…
math.PR2014
An approximation of Itô diffusions based on simple random walks
John van der Hoek, Tamas Szabados
The aim of this paper is to develop a sequence of discrete approximations to a one-dimensional Itô diffusion that almost surely converges to a weak solution of the given stochastic…