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

MaRDI QIDQ3518136zbMATH OpenFDO

Authors Ying Yu He

Publication date 6 August 2008

zbMATH Keywords

American optionBlack-Scholes modelbinomial modeltrinomial model

Mathematics Subject Classification ID

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

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Cited in

(3)

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

Describes a project that uses

Uses Software

• Visual Basic

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