A comparison of the rate of convergence between binomial model and trinomial model for pricing American options

zbMATH Open1150.91367MaRDI QIDQ3518136FDOQ3518136

Authors: Ying Yu He 

Publication date: 6 August 2008

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zbMATH Keywords

American optionBlack-Scholes modelbinomial modeltrinomial model

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05)

Cited In (3)

• Pricing options based on trinomial Markov tree
• A comparison of lattice based option pricing models on the rate of convergence
• A trinomial tree methods for pricing American options

Uses Software

• Visual Basic

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