Convergence of Binomial Tree Methods for European/American Path-Dependent Options

DOI10.1137/S0036142902414220MaRDI QIDQ4653901zbMATH OpenOpenAlexFDO

Authors Min Dai, Lishang Jiang

Publication date 1 March 2005

Published in SIAM Journal on Numerical Analysis (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1137/s0036142902414220

zbMATH Keywords

binomial tree methodconvergenceEuropean/American path-dependent options

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Optimal stochastic control (93E20)

Recommendations

• scientific article; zbMATH DE number 1512729
• Can high-order convergence of European option prices be achieved with common CRR-type binomial trees?
• Convergence of binomial tree method for American options
• Convergence of the binomial tree method for Asian options in jump-diffusion models
• Convergence of the Binomial Tree Method for American Options in a Jump-Diffusion Model

Cited in

(43)

• Convergence of numerical methods for valuing path-dependent options using interpolation
• A modified binomial tree method for currency lookback options
• The rate of convergence of the binomial tree scheme
• On the practical point of view of option pricing
• An integral equation representation approach for valuing Russian options with a finite time horizon
• Error estimates for backward Euler finite element approximations of American call option valuation
• Non-recombining trinomial tree pricing model and calibration for the volatility smile
• Convergence of the trinomial tree method for pricing European/American options
• Optimal convergence rate of the explicit finite difference scheme for American option valuation
• On the rate of convergence of the binomial tree scheme for American options
• Pricing of perpetual American and Bermudan options by binomial tree method
• Analytical binomial lookback options with double-exponential jumps
• An analysis of path-dependent options
• Convergence of binomial tree method for American options
• The free boundary problem of American butterfly option
• Convergence of European lookback options with floating strike in the binomial model
• Intensity-based models for pricing mortgage-backed securities with repayment risk under a CIR process
• An efficient binomial tree method for cliquet options
• Optimal convergence rate of the binomial tree scheme for American options and their free boundaries
• Convergence rate of free boundary of numerical scheme for American option
• Pricing jump risk with utility indifference
• scientific article; zbMATH DE number 1512729 (Why is no real title available?)
• Infinite horizon impulse control problem with continuous costs, numerical solutions
• Primal-Dual Active Set Method for American Lookback Put Option Pricing
• Approximating functionals of local martingales under lack of uniqueness of the Black-Scholes PDE solution
• Optimal stock selling/buying strategy with reference to the ultimate average
• Optimal portfolio choice in a binomial-tree and its convergence
• A binomial approximation for two-state Markovian HJM models
• A new sampling strategy willow tree method with application to path-dependent option pricing
• The singular points binomial method for pricing American path-dependent options
• The obstacle problem for a class of hypoelliptic ultraparabolic equations
• CHARACTERIZATION OF OPTIMAL STOPPING REGIONS OF AMERICAN ASIAN AND LOOKBACK OPTIONS
• A mathematical modeling for the lookback option with jump-diffusion using binomial tree method
• On pricing arithmetic average reset options with multiple reset dates in a lattice framework
• Numerical algorithms and simulations for reflected backward stochastic differential equations with two continuous barriers
• Robust pricing of equity-indexed annuities under uncertain volatility and stochastic interest rate
• Lattice Boltzmann method with a PML technique for pricing American lookback put options
• Valuation of American lookback-options and the distribution of Kronecker sequences
• Convergence of the binomial tree method for Asian options in jump-diffusion models
• Free boundary and optimal stopping problems for American Asian options
• Adaptive \(\theta \)-methods for pricing American options
• A lattice algorithm for pricing moving average barrier options
• Superconvergence estimates of finite element methods for American options

This page was built for publication: Convergence of Binomial Tree Methods for European/American Path-Dependent Options

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4653901)