Improvement of using binomial tree method in pricing options

MaRDI QIDQ3445732zbMATH OpenFDO

Authors

Publication date 6 June 2007

zbMATH Keywords

binomial treederivative pricingfinancial derivativesmultinomial treeoptionoption pricing

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60)

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Cited in

(2)

• The rate of convergence of the binomial tree scheme
• Binomial tree method for option pricing: discrete cosine transform approach

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