Rate of convergence of trinomial formula to Black-Scholes formula

DOI10.1016/J.SPL.2024.110167MaRDI QIDQ6589416zbMATH OpenFDO

Authors Yuttana Ratibenyakool, K. Neammanee

Publication date 19 August 2024

Published in Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/J.SPL.2024.110167

zbMATH Keywords

binomial formulaBlack-Scholes formulaoption pricingtrinomial formula

Mathematics Subject Classification ID

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

Recommendations

• Rate of convergence of binomial formula for option pricing
• Convergence of barrier option prices in the binomial model
• Smooth convergence in the binomial model
• Bernstein's inequalities and their extensions for getting the Black-Scholes option pricing formula
• Convergence of the trinomial tree method for pricing European/American options

Cites work

• Asymptotics of the price oscillations of a European call option in a tree model
• Binomial models for option valuation - examining and improving convergence
• Convergence of trinomial formula for European option pricing
• scientific article; zbMATH DE number 50805 (Why is no real title available?)
• On the rate of convergence of discrete-time contingent claims.
• Option pricing: A simplified approach
• Rate of convergence of binomial formula for option pricing
• Smooth convergence in the binomial model
• The pricing of options and corporate liabilities
• The rate of convergence of the binomial tree scheme

This page was built for publication: Rate of convergence of trinomial formula to Black-Scholes formula

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q6589416)