Zsolt Nika Faculty of Information Technology and Bionics, Pázmány Péter Catholic University, Budapest, Hungarye-mail:

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Tamás Szabados Department of Mathematics, Budapest University of Technology and Economics, Műegyetem rkp. 3, H ép. V em. Budapest, 1521, Hungarye-mail:, telephone: (+36 1) 463-1111/ext. 5905, fax: (+36 1) 463-1677

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A basic model in financial mathematics was introduced by Black, Scholes and Merton in 1973. A classical discrete approximation in distribution is the binomial model given by Cox, Ross and Rubinstein in 1979. In this work we give a strong (almost sure, pathwise) discrete approximation of the BSM model using a suitable nested sequence of simple, symmetric random walks. The approximation extends to the stock price process, the value process, the replicating portfolio, and the greeks. An important tool in the approximation is a discrete version of the Feynman-Kac formula as well.

Our aim is to show that from an elementary discrete approach, by taking simple limits, one may get the continuous versions. We think that such an approach can be advantageous for both research and applications. Moreover, it is hoped that this approach has pedagogical merits as well: gives insight and seems suitable for teaching students whose mathematical background may not contain e.g. measure theory or stochastic analysis.

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Editors in Chief

Gábor SIMONYI (Rényi Institute of Mathematics)
András STIPSICZ (Rényi Institute of Mathematics)
Géza TÓTH (Rényi Institute of Mathematics) 

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Gábor SÁGI (Rényi Institute of Mathematics)

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  • Imre BÁRÁNY (Rényi Institute of Mathematics)
  • Károly BÖRÖCZKY (Rényi Institute of Mathematics and Central European University)
  • Péter CSIKVÁRI (ELTE, Budapest) 
  • Joshua GREENE (Boston College)
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  • Satoru IWATA (University of Tokyo)
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  • Roy MESHULAM (Technion, Haifa)
  • Frédéric MEUNIER (École des Ponts ParisTech)
  • Márton NASZÓDI (ELTE, Budapest)
  • Eran NEVO (Hebrew University of Jerusalem)
  • János PACH (Rényi Institute of Mathematics)
  • Péter Pál PACH (BME, Budapest)
  • Andrew SUK (University of California, San Diego)
  • Zoltán SZABÓ (Princeton University)
  • Martin TANCER (Charles University, Prague)
  • Gábor TARDOS (Rényi Institute of Mathematics)
  • Paul WOLLAN (University of Rome "La Sapienza")

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Studia Scientiarum Mathematicarum Hungarica
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Studia Scientiarum Mathematicarum Hungarica
Language English
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Founder Magyar Tudományos Akadémia  
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ISSN 0081-6906 (Print)
ISSN 1588-2896 (Online)