Smooth convergence in the binomial model

DOI10.1007/s00780-006-0020-6zbMath1142.91032OpenAlexW1992063066MaRDI QIDQ2463704

Lo-Bin Chang, Kenneth James Palmer

Publication date: 16 December 2007

Published in: Finance and Stochastics (Search for Journal in Brave)

Full work available at URL: http://ntur.lib.ntu.edu.tw/bitstream/246246/183944/1/05.pdf

zbMATH Keywords

option pricingBlack-Scholes modelbinomial modelsmooth convergence

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (27)

The pricing of lookback options and binomial approximation ⋮ The hexanomial lattice for pricing multi-asset options ⋮ Bernstein's inequalities and their extensions for getting the Black-Scholes option pricing formula ⋮ Diffusion approximation of recurrent schemes for financial markets, with application to the Ornstein-Uhlenbeck process ⋮ Functional limit theorems for additive and multiplicative schemes in the Cox-Ingersoll-Ross model ⋮ Rate of convergence of binomial formula for option pricing ⋮ A new tree method for pricing financial derivatives in a regime-switching mean-reverting model ⋮ Convergence of trinomial formula for European option pricing ⋮ The optimal-drift model: an accelerated binomial scheme ⋮ A q -binomial extension of the CRR asset pricing model ⋮ Rate of convergence of option prices for approximations of the geometric Ornstein–Uhlenbeck process by Bernoulli jumps of prices on assets ⋮ On the convergence scheme in the CRR model ⋮ Analysis of Markov Chain Approximation for Option Pricing and Hedging: Grid Design and Convergence Behavior ⋮ WHAT A DIFFERENCE ONE PROBABILITY MAKES IN THE CONVERGENCE OF BINOMIAL TREES ⋮ 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 ⋮ REGIME-SWITCHING RECOMBINING TREE FOR OPTION PRICING ⋮ On modified Mellin transforms, Gauss-Laguerre quadrature, and the valuation of American call options ⋮ Improving speed of convergence for the prices of European options in binomial trees with even numbers of steps ⋮ The weak convergence of Greek symbols for prices of European options: from discrete time to continuous ⋮ Achieving smooth asymptotics for the prices of European options in binomial trees ⋮ Rate of convergence of option prices by using the method of pseudomoments ⋮ Option convergence rate with geometric random walks approximations ⋮ An alternative tree method for calibration of the local volatility ⋮ A EUROPEAN OPTION GENERAL FIRST-ORDER ERROR FORMULA ⋮ CONVERGENCE OF EUROPEAN LOOKBACK OPTIONS WITH FLOATING STRIKE IN THE BINOMIAL MODEL ⋮ The rate of convergence of option prices on the asset following a geometric Ornstein-Uhlenbeck process

Cites Work

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• Pricing the American put option: A detailed convergence analysis for binomial models
• Error estimates for the binomial approximation of American put options
• The rate of convergence of the binomial tree scheme
• A new simple version of the replica method
• CONVERGENCE OF AMERICAN OPTION VALUES FROM DISCRETE‐ TO CONTINUOUS‐TIME FINANCIAL MODELS¹
• Binomial models for option valuation - examining and improving convergence
• Convergence of the Binomial Tree Method for American Options in a Jump-Diffusion Model
• Asymptotics of the price oscillations of a European call option in a tree model
• Option pricing: A simplified approach
• The Minimal Entropy Martingale Measure and the Valuation Problem in Incomplete Markets

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