Can high-order convergence of European option prices be achieved with common CRR-type binomial trees?

DOI10.1007/s40840-015-0221-2zbMath1354.91152OpenAlexW2177590732MaRDI QIDQ503509

Guillaume Leduc

Publication date: 13 January 2017

Published in: Bulletin of the Malaysian Mathematical Sciences Society. Second Series (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s40840-015-0221-2

zbMATH Keywords

rate of convergenceoptionbinomial tree

Mathematics Subject Classification ID

Applications of Markov chains and discrete-time Markov processes on general state spaces (social mobility, learning theory, industrial processes, etc.) (60J20) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items

A q -binomial extension of the CRR asset pricing model, WHAT A DIFFERENCE ONE PROBABILITY MAKES IN THE CONVERGENCE OF BINOMIAL TREES

Cites Work

• Unnamed Item
• Unnamed Item
• On the convergence from discrete to continuous time in an optimal stopping problem.
• Improving speed of convergence for the prices of European options in binomial trees with even numbers of steps
• Error estimates for binomial approximations of game options
• Pricing the American put option: A detailed convergence analysis for binomial models
• Error estimates for the binomial approximation of American put options
• Brownian optimal stopping and random walks
• Pricing growth-rate risk
• Binomial approximation of Brownian motion and its maximum
• The rate of convergence of the binomial tree scheme
• Optimal convergence rate of the explicit finite difference scheme for American option valuation
• On the rate of convergence of the binomial tree scheme for American options
• Smooth convergence in the binomial model
• Optimal stopping and embedding
• A EUROPEAN OPTION GENERAL FIRST-ORDER ERROR FORMULA
• Exercisability Randomization of the American Option
• Achieving smooth asymptotics for the prices of European options in binomial trees
• Binomial models for option valuation - examining and improving convergence
• Optimal stopping with random intervention times
• Asymptotics of the price oscillations of a European call option in a tree model
• CONVERGENCE OF BARRIER OPTION PRICES IN THE BINOMIAL 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