Bernstein's inequalities and their extensions for getting the Black-Scholes option pricing formula

摘要

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. (C) 2016 Elsevier B.V. All rights reserved.