Convergence rate of the binomial tree scheme for continuously paying options

zbMATH Open1290.91181MaRDI QIDQ5166785FDOQ5166785

Authors: Guillaume Leduc 

Publication date: 8 July 2014

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Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60)

Cited In (8)

• On the convergence scheme in the CRR model
• On the rate of convergence of discrete-time contingent claims.
• Optimal convergence rate of the binomial tree scheme for American options and their free boundaries
• Optimal portfolio choice in a binomial-tree and its convergence
• Convergence of the binomial tree method for Asian options in jump-diffusion models
• Can high-order convergence of European option prices be achieved with common CRR-type binomial trees?
• Convergence rate of regime-switching trees
• Diffusion equations: convergence of the functional scheme derived from the binomial tree with local volatility for non smooth payoff functions

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