Error estimates for the binomial approximation of American put options
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Publication:1296626
DOI10.1214/AOAP/1027961041zbMATH Open0939.60022OpenAlexW2025218455MaRDI QIDQ1296626FDOQ1296626
Authors: Damien Lamberton 
Publication date: 5 July 2000
Published in: The Annals of Applied Probability (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1214/aoap/1027961041
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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
- A MULTINOMIAL APPROXIMATION FOR AMERICAN OPTION PRICES IN LÉVY PROCESS MODELS
- Corrected random walk approximations to free boundary problems in optimal stopping
- Sharp error estimate for implicit finite element scheme for American put option
- Optimal regularity in the obstacle problem for Kolmogorov operators related to American Asian options
- 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
- Dynkin's games and Israeli options
- The randomized American option as a classical solution to the penalized problem
- Error bounds and convergence for American put option pricing based on translation-invariant Markov chains.
- A quasi-analytical interpolation method for pricing American options under general multi-dimensional diffusion processes
- Smooth convergence in the binomial model
- 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
- Truncation and acceleration of the Tian tree for the pricing of American put options
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- Can high-order convergence of European option prices be achieved with common CRR-type binomial trees?
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- On the binomial approximation of the American put
- Calculating the American options in the default model
- Convergence Rate of an Explicit Finite Difference Scheme for a Credit Rating Migration Problem
- Error estimates for binomial approximations of game options
- A moments and strike matching binomial algorithm for pricing American put options
- 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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