Improving speed of convergence for the prices of European options in binomial trees with even numbers of steps
DOI10.1016/J.AMC.2010.03.111zbMATH Open1194.91195OpenAlexW2080746557MaRDI QIDQ984281FDOQ984281
Authors: Xiaoyong Xiao 
Publication date: 19 July 2010
Published in: Applied Mathematics and Computation (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.amc.2010.03.111
Recommendations
- Achieving higher order convergence for the prices of European options in binomial trees
- Achieving smooth asymptotics for the prices of European options in binomial trees
- Can high-order convergence of European option prices be achieved with common CRR-type binomial trees?
- Asymptotics of the price oscillations of a European call option in a tree model
- The rate of convergence of the binomial tree scheme
Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60) Finite difference methods for initial value and initial-boundary value problems involving PDEs (65M06)
Cites Work
- 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
- Option pricing: A simplified approach
- On the rate of convergence of discrete-time contingent claims.
- The rate of convergence of the binomial tree scheme
- Achieving smooth asymptotics for the prices of European options in binomial trees
- Achieving higher order convergence for the prices of European options in binomial trees
Cited In (10)
- 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
- The rate of convergence of the binomial tree scheme
- Title not available (Why is that?)
- Option convergence rate with geometric random walks approximations
- Achieving smooth asymptotics for the prices of European options in binomial trees
- A q -binomial extension of the CRR asset pricing model
- Can high-order convergence of European option prices be achieved with common CRR-type binomial trees?
- What a difference one probability makes in the convergence of binomial trees
- Rate of convergence of binomial formula for option pricing
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