Leduc, Guillaume2020-06-022020-06-022016Leduc, Guillaume. (2016) “Option convergence rate with geometric random walks approximations.” Stochastic Analysis and Applications, 34:5, 767-791, DOI: 10.1080/07362994.2016.11717211532-9356http://hdl.handle.net/11073/16666We describe a broad setting under which, for European options, if the underlying asset form a geometric random walk then, the error with respect to the Black–Scholes model converges to zero at a speed of 1/𝑛 for continuous payoffs functions, and at a speed of 1∕√𝑛 for discontinuous payoffs functions.en-USRisk neutral random walkRate of convergenceEuropean digital optionsBlack–ScholesPeer-Reviewed10.1080/07362994.2016.1171721