A European option general first-order error formula
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Publication:2865142
DOI10.1017/S1446181113000254zbMATH Open1282.91337MaRDI QIDQ2865142FDOQ2865142
Authors: Guillaume Leduc 
Publication date: 28 November 2013
Published in: The ANZIAM Journal (Search for Journal in Brave)
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Derivative securities (option pricing, hedging, etc.) (91G20) Applications of statistics to actuarial sciences and financial mathematics (62P05) Numerical methods (including Monte Carlo methods) (91G60)
Cites Work
- Smooth convergence in the binomial model
- Binomial models for option valuation - examining and improving convergence
- Asymptotics of the price oscillations of a European call option in a tree model
- CONVERGENCE OF BARRIER OPTION PRICES IN THE BINOMIAL MODEL
- Option pricing: A simplified approach
- Optimal stopping with random intervention times
- Optimal convergence rate of the explicit finite difference scheme for American option valuation
- On the rate of convergence of the binomial tree scheme for American options
- Brownian optimal stopping and random walks
- Binomial approximation of Brownian motion and its maximum
- Error estimates for the binomial approximation of American put options
- On the convergence from discrete to continuous time in an optimal stopping problem.
- Pricing the American put option: A detailed convergence analysis for binomial models
- The rate of convergence of the binomial tree scheme
- Optimal stopping and embedding
- Exercisability Randomization of the American Option
- Achieving smooth asymptotics for the prices of European options in binomial trees
- Achieving higher order convergence for the prices of European options in binomial trees
- The optimal-drift model: an accelerated binomial scheme
Cited In (6)
- Option convergence rate with geometric random walks approximations
- WHAT A DIFFERENCE ONE PROBABILITY MAKES IN THE CONVERGENCE OF BINOMIAL TREES
- The randomized American option as a classical solution to the penalized problem
- A q -binomial extension of the CRR asset pricing model
- Can high-order convergence of European option prices be achieved with common CRR-type binomial trees?
- Convergence rate of regime-switching trees
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