  In this article, we study the rate of convergence of prices when a model is
approximated by some simplified model. We also provide a method how explicit
error formula for more general options can be obtained if such formula is
available for digital option prices. We illustrate our results by considering
convergence of binomial prices to Black-Scholes prices. We also consider smooth
convergence in which the approximation does not oscillate for general class of
payoff functions.
