Rate of convergence of binomial formula for option pricing
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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
- scientific article; zbMATH DE number 6137478 (Why is no real title available?)
- On a bound of the absolute constant in the Berry-Esseen inequality for i.i.d. Bernoulli random variables
- On the rate of convergence of discrete-time contingent claims.
- Smooth convergence in the binomial model
- The pricing of options and corporate liabilities
- The rate of convergence of the binomial tree scheme
Cited in
(5)- Bernstein's inequalities and their extensions for getting the Black-Scholes option pricing formula
- Convergence of barrier option prices in the binomial model
- Convergence of trinomial formula for European option pricing
- Rate of convergence of trinomial formula to Black-Scholes formula
- On asset pricing in a binomial model with fixed and proportional transaction costs, portfolio constraints and dividends
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