Binomial approximation of Brownian motion and its maximum

DOI10.1016/J.SPL.2004.06.020zbMath1064.60090OpenAlexW2012668961MaRDI QIDQ1771464

Raffaella Carbone

Publication date: 21 April 2005

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spl.2004.06.020

zbMATH Keywords

Brownian motionBinomial random walkMaximum and barrier options

Mathematics Subject Classification ID

Sums of independent random variables; random walks (60G50) Brownian motion (60J65)

Related Items (6)

WHAT A DIFFERENCE ONE PROBABILITY MAKES IN THE CONVERGENCE OF BINOMIAL TREES ⋮ Discrete approximation of finite-horizon American-style options ⋮ Can high-order convergence of European option prices be achieved with common CRR-type binomial trees? ⋮ CONVERGENCE OF BARRIER OPTION PRICES IN THE BINOMIAL MODEL ⋮ Option convergence rate with geometric random walks approximations ⋮ A EUROPEAN OPTION GENERAL FIRST-ORDER ERROR FORMULA

Cites Work

• The rate of convergence of the binomial tree scheme
• Asymptotics of hitting probabilities for general one-dimensional pinned diffusions
• Weak approximation of killed diffusion using Euler schemes.
• Exact asymptotics for the probability of exit from a domain and applications to simulation
• Expansion of the global error for numerical schemes solving stochastic differential equations
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