Improving speed of convergence for the prices of European options in binomial trees with even numbers of steps
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Publication:984281
DOI10.1016/j.amc.2010.03.111zbMath1194.91195MaRDI QIDQ984281
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
91G60: Numerical methods (including Monte Carlo methods)
65M06: Finite difference methods for initial value and initial-boundary value problems involving PDEs
91G20: Derivative securities (option pricing, hedging, etc.)
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WHAT A DIFFERENCE ONE PROBABILITY MAKES IN THE CONVERGENCE OF 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?, Option convergence rate with geometric random walks approximations
Cites Work
- The rate of convergence of the binomial tree scheme
- Smooth convergence in the binomial model
- Achieving smooth asymptotics for the prices of European options in binomial trees
- Binomial models for option valuation - examining and improving convergence
- 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
- Option pricing: A simplified approach
- The Minimal Entropy Martingale Measure and the Valuation Problem in Incomplete Markets