17 citations · 74 across the 18 of their papers we have counts for
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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.LO2014★ 13 cited
Kolmogorov complexity and strong approximation of Brownian motion
Bjørn Kjos-Hanssen, Tamás Szabados
Brownian motion and scaled and interpolated simple random walk can be jointly embedded in a probability space in such a way that almost surely the -step walk is within a uniform…
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…