On the binomial approximation of the American put

DOI10.1007/s00245-018-9545-2zbMath1448.91297arXiv1802.05614OpenAlexW2963199944WikidataQ128784812 ScholiaQ128784812MaRDI QIDQ2198165

Damien Lamberton

Publication date: 9 September 2020

Published in: Applied Mathematics and Optimization (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1802.05614

zbMATH Keywords

Black-Scholes modelbinomial approximationAmerican put option price

Mathematics Subject Classification ID

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

Cites Work

• Unnamed Item
• American-type options. Stochastic approximation methods. Volume 2
• Variational inequalities and the pricing of American options
• Parabolic variational inequalities in one space dimension and smoothness of the free boundary
• Critical price near maturity for an American option on a dividend-paying stock.
• Brownian optimal stopping and random walks
• The rate of convergence of the binomial tree scheme
• CRITICAL STOCK PRICE NEAR EXPIRATION
• Optimal Convergence Rate of the Binomial Tree Scheme for American Options with Jump Diffusion and Their Free Boundaries
• Asymptotics of the price oscillations of a European call option in a tree model

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