What a difference one probability makes in the convergence of binomial trees

DOI10.1142/S0219024920500405MaRDI QIDQ5148007zbMATH OpenOpenAlexFDO

Authors

Publication date 29 January 2021

Published in International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1142/s0219024920500405

zbMATH Keywords

binomial modelBlack-Scholes modelsmooth convergenceterminal probability

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20)

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Cites work

• A European option general first-order error formula
• 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
• An explicit finite difference approach to the pricing of barrier options
• Asymptotics of the price oscillations of a European call option in a tree model
• Binomial approximation of Brownian motion and its maximum
• Binomial models for option valuation - examining and improving convergence
• Can high-order convergence of European option prices be achieved with common CRR-type binomial trees?
• Convergence of barrier option prices in the binomial model
• Improving speed of convergence for the prices of European options in binomial trees with even numbers of steps
• Probability and random processes.
• Smooth convergence in the binomial model
• The Mathematics of Financial Derivatives
• The optimal-drift model: an accelerated binomial scheme
• The rate of convergence of the binomial tree scheme

Cited in

(7)

• Convergence of European lookback options with floating strike in the binomial model
• On some generalization of the Cox-Ross-Rubinstein model and its asymptotics of Black-Scholes type
• Generalized Cox-Ross-Rubinstein binomial models
• Convergence of barrier option prices in the binomial model
• Can high-order convergence of European option prices be achieved with common CRR-type binomial trees?
• On the convergence scheme in the CRR model
• Linear convergence of the default probability and the implied barrier by trees

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