Improving speed of convergence for the prices of European options in binomial trees with even numbers of steps (Q984281)
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scientific article; zbMATH DE number 5757527
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| English | Improving speed of convergence for the prices of European options in binomial trees with even numbers of steps |
scientific article; zbMATH DE number 5757527 |
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Improving speed of convergence for the prices of European options in binomial trees with even numbers of steps (English)
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19 July 2010
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binomial models
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European option
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rate of convergence
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higher order convergence
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0.9343305826187134
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0.883502185344696
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0.8565769791603088
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0.8417028188705444
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0.8321886658668518
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