Asymptotics of the price oscillations of a European call option in a tree model
From MaRDI portal
Publication:4827314
DOI10.1111/j.0960-1627.2004.00192.xzbMath1124.91332MaRDI QIDQ4827314
Publication date: 16 November 2004
Published in: Mathematical Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1111/j.0960-1627.2004.00192.x
Related Items
Pricing Discrete European Barrier Options Using Lattice Random Walks, CONVERGENCE OF BARRIER OPTION PRICES IN THE BINOMIAL MODEL, Entropy binomial tree method and calibration for the volatility smile, Rate of convergence of binomial formula for option pricing, Convergence of trinomial formula for European option pricing, Analysis of Markov Chain Approximation for Option Pricing and Hedging: Grid Design and Convergence Behavior, WHAT A DIFFERENCE ONE PROBABILITY MAKES IN THE CONVERGENCE OF BINOMIAL TREES, ACHIEVING HIGHER ORDER CONVERGENCE FOR THE PRICES OF EUROPEAN OPTIONS IN BINOMIAL TREES, A multi-dimensional local average lattice method for multi-asset models, Diffusion Equations: Convergence of the Functional Scheme Derived from the Binomial Tree with Local Volatility for Non Smooth Payoff Functions, Multiple Volatility Real Options Approach to Investment Decisions Under Uncertainty, A q -binomial extension of the CRR asset pricing model, The pricing of lookback options and binomial approximation, Can high-order convergence of European option prices be achieved with common CRR-type binomial trees?, A moments and strike matching binomial algorithm for pricing American put options, Stein's method and zero bias transformation for CDO tranche pricing, Improving speed of convergence for the prices of European options in binomial trees with even numbers of steps, A new tree method for pricing financial derivatives in a regime-switching mean-reverting model, The optimal-drift model: an accelerated binomial scheme, An alternative tree method for calibration of the local volatility, On the binomial approximation of the American put, Smooth convergence in the binomial model, Option convergence rate with geometric random walks approximations, A EUROPEAN OPTION GENERAL FIRST-ORDER ERROR FORMULA, CONVERGENCE OF EUROPEAN LOOKBACK OPTIONS WITH FLOATING STRIKE IN THE BINOMIAL MODEL, On the analytical/numerical pricing of American put options against binomial tree prices, REGIME-SWITCHING RECOMBINING TREE FOR OPTION PRICING, Achieving smooth asymptotics for the prices of European options in binomial trees
Cites Work