Richter's local limit theorem and Black-Scholes type formulas

dc.contributor.author	Denker, Manfred
dc.contributor.author	Fares, Souha A.
dc.contributor.department	HSON
dc.contributor.faculty	Rafic Hariri School of Nursing (HSON)
dc.contributor.institution	American University of Beirut
dc.date.accessioned	2025-01-24T12:21:49Z
dc.date.available	2025-01-24T12:21:49Z
dc.date.issued	2014
dc.description.abstract	We prove a Black-Scholes type formula when the geometric Brownian motion originates from approximations by multinomial distributions. It is shown that the variance appearing in the Black-Scholes formula for option pricing can be structured according to occurrences of different types of events at each time instance using a local limit theorem for multinomial distributions in Richter (1956). The general approach has first been developed in Kan (2005). © 2014 Elsevier B.V.
dc.identifier.doi	https://doi.org/10.1016/j.spl.2014.06.003
dc.identifier.eid	2-s2.0-84902952528
dc.identifier.uri	http://hdl.handle.net/10938/34516
dc.language.iso	en
dc.publisher	Elsevier
dc.relation.ispartof	Statistics and Probability Letters
dc.source	Scopus
dc.subject	Black-scholes formula
dc.subject	Local limit theorems
dc.subject	Multinomial distribution
dc.title	Richter's local limit theorem and Black-Scholes type formulas
dc.type	Article

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