Convergence of the trinomial tree method for pricing European/American options
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Publication:2381353
DOI10.1016/j.amc.2006.11.132zbMath1300.91051OpenAlexW2080445275MaRDI QIDQ2381353
Publication date: 17 September 2007
Published in: Applied Mathematics and Computation (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.amc.2006.11.132
Numerical methods (including Monte Carlo methods) (91G60) Derivative securities (option pricing, hedging, etc.) (91G20)
Related Items (10)
Pricing the American options: a closed-form, simple formula ⋮ Pricing the American options using the Black-Scholes pricing formula ⋮ Convergence of trinomial formula for European option pricing ⋮ A HODIE finite difference scheme for pricing American options ⋮ Connection between trinomial trees and finite difference methods for option pricing with state-dependent switching rates ⋮ Building recombining trinomial trees for time-homogeneous diffusion processes ⋮ Option convergence rate with geometric random walks approximations ⋮ Non-recombining trinomial tree pricing model and calibration for the volatility smile ⋮ An alternative tree method for calibration of the local volatility ⋮ American Option Valuation under Continuous-Time Markov Chains
Cites Work
- Pricing the American put option: A detailed convergence analysis for binomial models
- Error estimates for the binomial approximation of American put options
- User’s guide to viscosity solutions of second order partial differential equations
- Some mathematical results in the pricing of American options
- Convergence of Binomial Tree Methods for European/American Path-Dependent Options
- CONVERGENCE OF NUMERICAL SCHEMES FOR PARABOLIC EQUATIONS ARISING IN FINANCE THEORY
- Trinomial-tree Based Parallel Option Price Valuations
- Option pricing: A simplified approach
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