Achieving smooth asymptotics for the prices of European options in binomial trees
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Publication:3623406
DOI10.1080/14697680802624955zbMath1158.91381OpenAlexW3121923041MaRDI QIDQ3623406
Publication date: 20 April 2009
Published in: Quantitative Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/14697680802624955
Related Items (8)
WHAT A DIFFERENCE ONE PROBABILITY MAKES IN THE CONVERGENCE OF BINOMIAL TREES ⋮ A multi-dimensional local average lattice method for multi-asset models ⋮ 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 ⋮ Improving speed of convergence for the prices of European options in binomial trees with even numbers of steps ⋮ ACHIEVING HIGHER ORDER CONVERGENCE FOR THE PRICES OF EUROPEAN OPTIONS IN BINOMIAL TREES ⋮ Option convergence rate with geometric random walks approximations ⋮ A EUROPEAN OPTION GENERAL FIRST-ORDER ERROR FORMULA
Cites Work
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- Pricing the American put option: A detailed convergence analysis for binomial models
- The rate of convergence of the binomial tree scheme
- 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
- Option pricing: A simplified approach
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