Article ID Journal Published Year Pages File Type
7549075 Statistics & Probability Letters 2016 7 Pages PDF
Abstract
In this paper we show how the results of Bernstein (1943) and recent results of Zubkov and Serov (2012) on the normal approximation to the binomial distribution lead to an alternative derivation of the Black-Scholes formula from a binomial option pricing model.
Keywords
Related Topics
Physical Sciences and Engineering Mathematics Statistics and Probability
Preview
Bernstein's inequalities and their extensions for getting the Black-Scholes option pricing formula
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