A EUROPEAN OPTION GENERAL FIRST-ORDER ERROR FORMULA

DOI10.1017/S1446181113000254zbMath1282.91337MaRDI QIDQ2865142

Guillaume Leduc

Publication date: 28 November 2013

Published in: The ANZIAM Journal (Search for Journal in Brave)

zbMATH Keywords

Black-Scholes modelapproximation schemeEuropean optionserror formula

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Numerical methods (including Monte Carlo methods) (91G60) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (6)

A q -binomial extension of the CRR asset pricing model ⋮ The randomized American option as a classical solution to the penalized problem ⋮ WHAT A DIFFERENCE ONE PROBABILITY MAKES IN THE CONVERGENCE OF BINOMIAL TREES ⋮ Can high-order convergence of European option prices be achieved with common CRR-type binomial trees? ⋮ Convergence rate of regime-switching trees ⋮ Option convergence rate with geometric random walks approximations

Cites Work

• On the convergence from discrete to continuous time in an optimal stopping problem.
• Pricing the American put option: A detailed convergence analysis for binomial models
• Error estimates for the binomial approximation of American put options
• Brownian optimal stopping and random walks
• Binomial approximation of Brownian motion and its maximum
• The rate of convergence of the binomial tree scheme
• The optimal-drift model: an accelerated binomial scheme
• Optimal convergence rate of the explicit finite difference scheme for American option valuation
• On the rate of convergence of the binomial tree scheme for American options
• Smooth convergence in the binomial model
• Optimal stopping and embedding
• Exercisability Randomization of the American Option
• Achieving smooth asymptotics for the prices of European options in binomial trees
• Binomial models for option valuation - examining and improving convergence
• Optimal stopping with random intervention times
• Asymptotics of the price oscillations of a European call option in a tree model
• CONVERGENCE OF BARRIER OPTION PRICES IN THE BINOMIAL MODEL
• ACHIEVING HIGHER ORDER CONVERGENCE FOR THE PRICES OF EUROPEAN OPTIONS IN BINOMIAL TREES
• Option pricing: A simplified approach

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