THE WEAK CONVERGENCE OF GREEK SYMBOLS FOR PRICES OF EUROPEAN OPTIONS: FROM DISCRETE TIME TO CONTINUOUS

摘要

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.