Achieving smooth asymptotics for the prices of European options in binomial trees (Q3623406): Difference between revisions
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| Property / cites work: Smooth convergence in the binomial model / rank | |||
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| Property / cites work: Option pricing: A simplified approach / rank | |||
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| Property / cites work: Asymptotics of the price oscillations of a European call option in a tree model / rank | |||
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| Property / cites work: Q4821330 / rank | |||
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| Property / cites work: Pricing the American put option: A detailed convergence analysis for binomial models / rank | |||
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| Property / cites work: Binomial models for option valuation - examining and improving convergence / rank | |||
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| Property / cites work: The rate of convergence of the binomial tree scheme / rank | |||
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Latest revision as of 11:26, 1 July 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Achieving smooth asymptotics for the prices of European options in binomial trees |
scientific article |
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Achieving smooth asymptotics for the prices of European options in binomial trees (English)
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20 April 2009
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binomial trees
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Richardson extrapolation
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options
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rate of convergence
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