Pricing the American put option: A detailed convergence analysis for binomial models

DOI10.1016/S0165-1889(98)00019-0zbMath0912.90025WikidataQ127014852 ScholiaQ127014852MaRDI QIDQ1274218

Dietmar P. J. Leisen

Publication date: 12 January 1999

Published in: Journal of Economic Dynamics \& Control (Search for Journal in Brave)

zbMATH Keywords

American put optionsEuropean call optionsmeasure of convergence

Mathematics Subject Classification ID

Related Items (18)

On the analytical/numerical pricing of American put options against binomial tree prices ⋮ A generalized complementarity approach to solving real option problems ⋮ Convergence of the trinomial tree method for pricing European/American options ⋮ A convergent quadratic-time lattice algorithm for pricing European-style Asian options ⋮ The optimal-drift model: an accelerated binomial scheme ⋮ The random-time binomial model ⋮ Smooth convergence in the binomial model ⋮ Can high-order convergence of European option prices be achieved with common CRR-type binomial trees? ⋮ HERMITE BINOMIAL TREES: A NOVEL TECHNIQUE FOR DERIVATIVES PRICING ⋮ On modified Mellin transforms, Gauss-Laguerre quadrature, and the valuation of American call options ⋮ Truncation and acceleration of the Tian tree for the pricing of American put options ⋮ An Improved Binomial Lattice Method for Multi‐Dimensional Options ⋮ Stochastic approximation methods for American type options ⋮ Achieving smooth asymptotics for the prices of European options in binomial trees ⋮ Option convergence rate with geometric random walks approximations ⋮ Option valuation by using discrete singular convolution ⋮ Efficient Pricing of Derivatives on Assets with Discrete Dividends ⋮ A EUROPEAN OPTION GENERAL FIRST-ORDER ERROR FORMULA

Cites Work

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