Achieving smooth asymptotics for the prices of European options in binomial trees

DOI10.1080/14697680802624955zbMath1158.91381OpenAlexW3121923041MaRDI QIDQ3623406

Mark S. Joshi

Publication date: 20 April 2009

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/14697680802624955

zbMATH Keywords

optionsrate of convergenceRichardson extrapolationbinomial trees

Mathematics Subject Classification ID

Applications of stochastic analysis (to PDEs, etc.) (60H30)

Related Items (8)

WHAT A DIFFERENCE ONE PROBABILITY MAKES IN THE CONVERGENCE OF BINOMIAL TREES ⋮ A multi-dimensional local average lattice method for multi-asset models ⋮ Can high-order convergence of European option prices be achieved with common CRR-type binomial trees? ⋮ CONVERGENCE OF BARRIER OPTION PRICES IN THE BINOMIAL MODEL ⋮ Improving speed of convergence for the prices of European options in binomial trees with even numbers of steps ⋮ ACHIEVING HIGHER ORDER CONVERGENCE FOR THE PRICES OF EUROPEAN OPTIONS IN BINOMIAL TREES ⋮ Option convergence rate with geometric random walks approximations ⋮ A EUROPEAN OPTION GENERAL FIRST-ORDER ERROR FORMULA

Cites Work

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• Pricing the American put option: A detailed convergence analysis for binomial models
• The rate of convergence of the binomial tree scheme
• Smooth convergence in the binomial model
• 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

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