Binomial models for option valuation - examining and improving convergence

DOI10.1080/13504869600000015zbMath1097.91513OpenAlexW2050582772MaRDI QIDQ4541535

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Publication date: 4 September 2002

Published in: Applied Mathematical Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/13504869600000015

Mathematics Subject Classification ID

Related Items (40)

Finite difference methods for pricing American put option with rationality parameter: numerical analysis and computing ⋮ On the analytical/numerical pricing of American put options against binomial tree prices ⋮ On the efficiency of 5(4) RK-embedded pairs with high order compact scheme and Robin boundary condition for options valuation ⋮ Efficient option valuation using trees ⋮ Option pricing: a yet simpler approach ⋮ Rate of convergence of binomial formula for option pricing ⋮ Convergence of trinomial formula for European option pricing ⋮ The optimal-drift model: an accelerated binomial scheme ⋮ Real‐time waiting‐price trading interval in a heterogeneous options market: a Bernoulli distribution ⋮ A q -binomial extension of the CRR asset pricing model ⋮ Analysis of Markov Chain Approximation for Option Pricing and Hedging: Grid Design and Convergence Behavior ⋮ The random-time binomial model ⋮ An adaptive averaging binomial method for option valuation ⋮ LOCALIZED MONTE CARLO ALGORITHM TO COMPUTE PRICES OF PATH DEPENDENT OPTIONS ON TREES ⋮ Numerical pricing of options using high-order compact finite difference schemes ⋮ WHAT A DIFFERENCE ONE PROBABILITY MAKES IN THE CONVERGENCE OF BINOMIAL TREES ⋮ A multi-dimensional local average lattice method for multi-asset models ⋮ Smooth convergence in the binomial model ⋮ Can high-order convergence of European option prices be achieved with common CRR-type binomial trees? ⋮ Two-factor convertible bonds valuation using the method of characteristics/finite elements ⋮ HERMITE BINOMIAL TREES: A NOVEL TECHNIQUE FOR DERIVATIVES PRICING ⋮ A fast high-order finite difference algorithm for pricing American options ⋮ CONVERGENCE OF BARRIER OPTION PRICES IN THE BINOMIAL MODEL ⋮ Diffusion Equations: Convergence of the Functional Scheme Derived from the Binomial Tree with Local Volatility for Non Smooth Payoff Functions ⋮ On modified Mellin transforms, Gauss-Laguerre quadrature, and the valuation of American call options ⋮ Truncation and acceleration of the Tian tree for the pricing of American put options ⋮ Improving speed of convergence for the prices of European options in binomial trees with even numbers of steps ⋮ An Improved Binomial Lattice Method for Multi‐Dimensional Options ⋮ Building recombining trinomial trees for time-homogeneous diffusion processes ⋮ Adaptive lattice methods for multi-asset models ⋮ Stochastic approximation methods for American type options ⋮ Achieving smooth asymptotics for the prices of European options in binomial trees ⋮ Conservative third-order central-upwind schemes for option pricing problems ⋮ Option convergence rate with geometric random walks approximations ⋮ Pricing the American put option: A detailed convergence analysis for binomial models ⋮ An alternative tree method for calibration of the local volatility ⋮ Option valuation by using discrete singular convolution ⋮ A EUROPEAN OPTION GENERAL FIRST-ORDER ERROR FORMULA ⋮ CONVERGENCE OF EUROPEAN LOOKBACK OPTIONS WITH FLOATING STRIKE IN THE BINOMIAL MODEL ⋮ Discrete Malliavin calculus and computations of Greeks in the binomial tree

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