Error estimates for the binomial approximation of American put options
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- CONVERGENCE OF AMERICAN OPTION VALUES FROM DISCRETE‐ TO CONTINUOUS‐TIME FINANCIAL MODELS1
- CRITICAL STOCK PRICE NEAR EXPIRATION
- Discrétisation d'une équation différentielle stochastique et calcul approché d'espérances de fonctionnelles de la solution
- Error estimates and free-boundary convergence for a finite difference discretization of a parabolic variational inequality
- Error estimates for the binomial approximation of American put options
- Expansion of the global error for numerical schemes solving stochastic differential equations
- On the pricing of American options
- Optimization Problems in the Theory of Continuous Trading
- Option pricing: A simplified approach
- Parabolic variational inequalities in one space dimension and smoothness of the free boundary
- Probability methods for approximations in stochastic control and for elliptic equations
- Sur l'approximation des réduites. (On the approximation of residues)
- The law of the Euler scheme for stochastic differential equations. I: Convergence rate of the distribution function
- The pricing of the American option
- Variational inequalities and the pricing of American options
- Weak Approximation of Solutions of Systems of Stochastic Differential Equations
Cited in
(42)- Efficient Pricing of Derivatives on Assets with Discrete Dividends
- Error estimates for multinomial approximations of American options in a class of jump diffusion models
- A multi-dimensional local average lattice method for multi-asset models
- Sharp error estimate for implicit finite element scheme for American put option
- A MULTINOMIAL APPROXIMATION FOR AMERICAN OPTION PRICES IN LÉVY PROCESS MODELS
- Optimal regularity in the obstacle problem for Kolmogorov operators related to American Asian options
- Corrected random walk approximations to free boundary problems in optimal stopping
- On the analytical/numerical pricing of American put options against binomial tree prices
- Convergence of the approximation scheme to American option pricing via the discrete Morse semiflow
- Convergence of the trinomial tree method for pricing European/American options
- On the convergence from discrete to continuous time in an optimal stopping problem.
- A European option general first-order error formula
- Approximation of the Snell Envelope and American Options Prices in dimension one
- Error estimates for binomial approximations of game put options
- Analysis of VIX-linked fee incentives in variable annuities via continuous-time Markov chain approximation
- Option convergence rate with geometric random walks approximations
- Finite approximation schemes for Lévy processes, and their application to optimal stopping problems
- Error estimates for the binomial approximation of American put options
- The random-time binomial model
- Stochastic approximation methods for American type options
- Binomial approximation of Brownian motion and its maximum
- The randomized American option as a classical solution to the penalized problem
- Dynkin's games and Israeli options
- Error bounds and convergence for American put option pricing based on translation-invariant Markov chains.
- Smooth convergence in the binomial model
- A quasi-analytical interpolation method for pricing American options under general multi-dimensional diffusion processes
- Critical price near maturity for an American option on a dividend-paying stock.
- CALLABLE PUTS AS COMPOSITE EXOTIC OPTIONS
- A generalized complementarity approach to solving real option problems
- Error analysis of the optimal quantization algorithm for obstacle problems.
- Truncation and acceleration of the Tian tree for the pricing of American put options
- Can high-order convergence of European option prices be achieved with common CRR-type binomial trees?
- Optimal stopping problem in a model with compensated refusal of reward
- On the forward algorithm for stopping problems on continuous-time Markov chains
- On the binomial approximation of the American put
- Calculating the American options in the default model
- Error estimates for binomial approximations of game options
- A moments and strike matching binomial algorithm for pricing American put options
- Convergence Rate of an Explicit Finite Difference Scheme for a Credit Rating Migration Problem
- American Option Valuation under Continuous-Time Markov Chains
- Pricing the American put option: A detailed convergence analysis for binomial models
- Error estimates for approximations of American put option price
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