Theory of Probability and Mathematical Statistics
The weak convergence of Greek symbols for prices of European options: from discrete time to continuous
S. V. Kuchuk-Iatsenko, Yu. S. Mishura
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Abstract: The behavior of the so-called Greeks'' that characterize the financial market and assets on it for the Black-Scholes model is investigated in this paper. Discrete analogues of these quantities are introduced for the binomial model. The weak convergence of these analogues to the Greeks in the Black-Scholes model is established under the condition that the number of periods tends to infinity.
Keywords: Greek symbols (''Greeks''), Black--Scholes model, binomial model, local de Moivre--Laplace theorem
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