Error estimates for the binomial approximation of American put options

DOI10.1214/aoap/1027961041zbMath0939.60022OpenAlexW2025218455MaRDI QIDQ1296626

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

zbMATH Keywords

Black-Scholes modelAmerican put optionput prices's binomial approximation

Mathematics Subject Classification ID

Related Items (35)

On the analytical/numerical pricing of American put options against binomial tree prices ⋮ Approximation of the Snell Envelope and American Options Prices in dimension one ⋮ Calculating the American options in the default model ⋮ A generalized complementarity approach to solving real option problems ⋮ Convergence of the trinomial tree method for pricing European/American options ⋮ Finite approximation schemes for Lévy processes, and their application to optimal stopping problems ⋮ Convergence Rate of an Explicit Finite Difference Scheme for a Credit Rating Migration Problem ⋮ Analysis of VIX-linked fee incentives in variable annuities via continuous-time Markov chain approximation ⋮ CALLABLE PUTS AS COMPOSITE EXOTIC OPTIONS ⋮ The randomized American option as a classical solution to the penalized problem ⋮ Convergence of the approximation scheme to American option pricing via the discrete Morse semiflow ⋮ Critical price near maturity for an American option on a dividend-paying stock. ⋮ Dynkin's games and Israeli options ⋮ Optimal stopping problem in a model with compensated refusal of reward ⋮ A multi-dimensional local average lattice method for multi-asset models ⋮ A moments and strike matching binomial algorithm for pricing American put options ⋮ Smooth convergence in the binomial model ⋮ Can high-order convergence of European option prices be achieved with common CRR-type binomial trees? ⋮ Corrected random walk approximations to free boundary problems in optimal stopping ⋮ Truncation and acceleration of the Tian tree for the pricing of American put options ⋮ Optimal regularity in the obstacle problem for Kolmogorov operators related to American Asian options ⋮ On the convergence from discrete to continuous time in an optimal stopping problem. ⋮ Error estimates for binomial approximations of game options ⋮ Error estimates for binomial approximations of game put options ⋮ A quasi-analytical interpolation method for pricing American options under general multi-dimensional diffusion processes ⋮ Stochastic approximation methods for American type options ⋮ Option convergence rate with geometric random walks approximations ⋮ Pricing the American put option: A detailed convergence analysis for binomial models ⋮ Error estimates for the binomial approximation of American put options ⋮ A MULTINOMIAL APPROXIMATION FOR AMERICAN OPTION PRICES IN LÉVY PROCESS MODELS ⋮ Efficient Pricing of Derivatives on Assets with Discrete Dividends ⋮ Error analysis of the optimal quantization algorithm for obstacle problems. ⋮ On the forward algorithm for stopping problems on continuous-time Markov chains ⋮ A EUROPEAN OPTION GENERAL FIRST-ORDER ERROR FORMULA ⋮ American Option Valuation under Continuous-Time Markov Chains

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