Smooth convergence in the binomial model
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Publication:2463704
DOI10.1007/s00780-006-0020-6zbMath1142.91032OpenAlexW1992063066MaRDI QIDQ2463704
Lo-Bin Chang, Kenneth James Palmer
Publication date: 16 December 2007
Published in: Finance and Stochastics (Search for Journal in Brave)
Full work available at URL: http://ntur.lib.ntu.edu.tw/bitstream/246246/183944/1/05.pdf
Applications of statistics to actuarial sciences and financial mathematics (62P05) Derivative securities (option pricing, hedging, etc.) (91G20)
Related Items (27)
The pricing of lookback options and binomial approximation ⋮ The hexanomial lattice for pricing multi-asset options ⋮ Bernstein's inequalities and their extensions for getting the Black-Scholes option pricing formula ⋮ Diffusion approximation of recurrent schemes for financial markets, with application to the Ornstein-Uhlenbeck process ⋮ Functional limit theorems for additive and multiplicative schemes in the Cox-Ingersoll-Ross model ⋮ Rate of convergence of binomial formula for option pricing ⋮ A new tree method for pricing financial derivatives in a regime-switching mean-reverting model ⋮ Convergence of trinomial formula for European option pricing ⋮ The optimal-drift model: an accelerated binomial scheme ⋮ A q -binomial extension of the CRR asset pricing model ⋮ Rate of convergence of option prices for approximations of the geometric Ornstein–Uhlenbeck process by Bernoulli jumps of prices on assets ⋮ On the convergence scheme in the CRR model ⋮ Analysis of Markov Chain Approximation for Option Pricing and Hedging: Grid Design and Convergence Behavior ⋮ WHAT A DIFFERENCE ONE PROBABILITY MAKES IN THE CONVERGENCE OF BINOMIAL TREES ⋮ Can high-order convergence of European option prices be achieved with common CRR-type binomial trees? ⋮ CONVERGENCE OF BARRIER OPTION PRICES IN THE BINOMIAL MODEL ⋮ REGIME-SWITCHING RECOMBINING TREE FOR OPTION PRICING ⋮ On modified Mellin transforms, Gauss-Laguerre quadrature, and the valuation of American call options ⋮ Improving speed of convergence for the prices of European options in binomial trees with even numbers of steps ⋮ The weak convergence of Greek symbols for prices of European options: from discrete time to continuous ⋮ Achieving smooth asymptotics for the prices of European options in binomial trees ⋮ Rate of convergence of option prices by using the method of pseudomoments ⋮ Option convergence rate with geometric random walks approximations ⋮ An alternative tree method for calibration of the local volatility ⋮ A EUROPEAN OPTION GENERAL FIRST-ORDER ERROR FORMULA ⋮ CONVERGENCE OF EUROPEAN LOOKBACK OPTIONS WITH FLOATING STRIKE IN THE BINOMIAL MODEL ⋮ The rate of convergence of option prices on the asset following a geometric Ornstein-Uhlenbeck process
Cites Work
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- Pricing the American put option: A detailed convergence analysis for binomial models
- Error estimates for the binomial approximation of American put options
- The rate of convergence of the binomial tree scheme
- A new simple version of the replica method
- CONVERGENCE OF AMERICAN OPTION VALUES FROM DISCRETE‐ TO CONTINUOUS‐TIME FINANCIAL MODELS1
- Binomial models for option valuation - examining and improving convergence
- Convergence of the Binomial Tree Method for American Options in a Jump-Diffusion Model
- Asymptotics of the price oscillations of a European call option in a tree model
- Option pricing: A simplified approach
- The Minimal Entropy Martingale Measure and the Valuation Problem in Incomplete Markets
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