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Weak convergence of tree methods, to price options on defaultable assets

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Author Info
J.W. Nieuwenhuis
M.H. Vellekoop
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File URL: http://hdl.handle.net/10.1007/s10203-004-0043-4
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Article provided by Springer in its journal Decisions in Economics and Finance.

Volume (Year): 27 (2004)
Issue (Month): 2 (December)
Pages: 87-107
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Handle: RePEc:spr:decfin:v:27:y:2004:i:2:p:87-107

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Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:

  1. He, Hua, 1990. "Convergence from Discrete- to Continuous-Time Contingent Claims Prices," Review of Financial Studies, Oxford University Press for Society for Financial Studies, vol. 3(4), pages 523-46. [Downloadable!] (restricted)
  2. Amin, Kaushik I, 1993. " Jump Diffusion Option Valuation in Discrete Time," Journal of Finance, American Finance Association, vol. 48(5), pages 1833-63, December. [Downloadable!] (restricted)
  3. Chunsheng Zhou, 1997. "A jump-diffusion approach to modeling credit risk and valuing defaultable securities," Finance and Economics Discussion Series 1997-15, Board of Governors of the Federal Reserve System (U.S.). [Downloadable!]
  4. Merton, Robert C., 1976. "Option pricing when underlying stock returns are discontinuous," Journal of Financial Economics, Elsevier, vol. 3(1-2), pages 125-144. [Downloadable!] (restricted)
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  5. Hua He., 1990. "Convergence from Discrete to Continuous Time Contingent Claims Prices," Research Program in Finance Working Papers RPF-199, University of California at Berkeley.
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This page was last updated on 2009-12-10.

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