The optimal-drift model: an accelerated binomial scheme

DOI10.1007/S00780-012-0179-YzbMath1257.91047OpenAlexW2002952800MaRDI QIDQ1936831

Ralf Korn, Stefanie Müller

Publication date: 7 February 2013

Published in: Finance and Stochastics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s00780-012-0179-y

zbMATH Keywords

weak convergenceoption pricingBlack-Scholes modelaccelerated convergencebinomial model

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (3)

A q -binomial extension of the CRR asset pricing model ⋮ WHAT A DIFFERENCE ONE PROBABILITY MAKES IN THE CONVERGENCE OF BINOMIAL TREES ⋮ A EUROPEAN OPTION GENERAL FIRST-ORDER ERROR FORMULA

Cites Work

• Unnamed Item
• Pricing the American put option: A detailed convergence analysis for binomial models
• Smooth convergence in the binomial model
• CONVERGENCE OF AMERICAN OPTION VALUES FROM DISCRETE‐ TO CONTINUOUS‐TIME FINANCIAL MODELS¹
• Binomial models for option valuation - examining and improving convergence
• Asymptotics of the price oscillations of a European call option in a tree model
• Option pricing: A simplified approach
• Arbitrage Theory in Continuous Time

This page was built for publication: The optimal-drift model: an accelerated binomial scheme