Convergence of trinomial formula for European option pricing

DOI10.1080/03610926.2020.1860221OpenAlexW3112448639MaRDI QIDQ5096006FDOQ5096006

Authors: Yuttana Ratibenyakool, K. Neammanee 

Publication date: 12 August 2022

Published in: Communications in Statistics: Theory and Methods (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610926.2020.1860221

zbMATH Keywords

European option pricingBlack-Scholes formulabinomial formulatrinomial formula

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Central limit and other weak theorems (60F05)

Cites Work

• The pricing of options and corporate liabilities
• 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
• On the rate of convergence of discrete-time contingent claims.
• On a bound of the absolute constant in the Berry-Esseen inequality for i.i.d. Bernoulli random variables
• The rate of convergence of the binomial tree scheme
• Elements of Distribution Theory
• Convergence of the trinomial tree method for pricing European/American options
• A refinement of normal approximation to Poisson binomial
• Rate of convergence of binomial formula for option pricing

Cited In (1)

• Rate of convergence of trinomial formula to Black-Scholes formula

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