Improving speed of convergence for the prices of European options in binomial trees with even numbers of steps

DOI10.1016/J.AMC.2010.03.111MaRDI QIDQ984281zbMATH OpenOpenAlexFDO

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

zbMATH Keywords

rate of convergenceEuropean optionhigher order convergencebinomial models

Mathematics Subject Classification ID

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)

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

Cites work

• 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
• Asymptotics of the price oscillations of a European call option in a tree model
• Binomial models for option valuation - examining and improving convergence
• On the rate of convergence of discrete-time contingent claims.
• Option pricing: A simplified approach
• Smooth convergence in the binomial model
• The rate of convergence of the binomial tree scheme

Cited in

(10)

• Achieving higher order convergence for the prices of European options in binomial trees
• The rate of convergence of the binomial tree scheme
• A q -binomial extension of the CRR asset pricing model
• Achieving smooth asymptotics for the prices of European options in binomial trees
• Asymptotics of the price oscillations of a European call option in a tree model
• scientific article; zbMATH DE number 1971704 (Why is no real title available?)
• Can high-order convergence of European option prices be achieved with common CRR-type binomial trees?
• Rate of convergence of binomial formula for option pricing
• Option convergence rate with geometric random walks approximations
• What a difference one probability makes in the convergence of binomial trees

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