CONVERGENCE OF BARRIER OPTION PRICES IN THE BINOMIAL MODEL
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Publication:4917302
DOI10.1111/j.1467-9965.2011.00501.xzbMath1262.91136OpenAlexW1951071511MaRDI QIDQ4917302
Jhihrong Lin, Kenneth James Palmer
Publication date: 29 April 2013
Published in: Mathematical Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1111/j.1467-9965.2011.00501.x
Related Items (13)
The pricing of lookback options and binomial approximation ⋮ Pricing exotic derivatives exploiting structure ⋮ THE BINOMIAL INTERPOLATED LATTICE METHOD FOR STEP DOUBLE BARRIER OPTIONS ⋮ Geometric step options and Lévy models: duality, pides, and semi-analytical pricing ⋮ On the convergence scheme in the CRR model ⋮ Analysis of Markov Chain Approximation for Option Pricing and Hedging: Grid Design and Convergence Behavior ⋮ Unnamed Item ⋮ WHAT A DIFFERENCE ONE PROBABILITY MAKES IN THE CONVERGENCE OF BINOMIAL TREES ⋮ Can high-order convergence of European option prices be achieved with common CRR-type binomial trees? ⋮ American step options ⋮ 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
Cites Work
- Binomial approximation of Brownian motion and its maximum
- The rate of convergence of the binomial tree scheme
- Weak approximation of killed diffusion using Euler schemes.
- Smooth convergence in the binomial model
- A Continuity Correction for Discrete Barrier Options
- Achieving smooth asymptotics for the prices of European options in binomial trees
- Binomial models for option valuation - examining and improving convergence
- Asymptotics of the price oscillations of a European call option in a tree model
- ACHIEVING HIGHER ORDER CONVERGENCE FOR THE PRICES OF EUROPEAN OPTIONS IN BINOMIAL TREES
- Option pricing: A simplified approach
- The Minimal Entropy Martingale Measure and the Valuation Problem in Incomplete Markets
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