Efficient option valuation using trees

DOI10.1080/13504860210146711zbMath1098.91529OpenAlexW2064272763MaRDI QIDQ4804518

Stefano Herzel, David C. Heath

Publication date: 2002

Published in: Applied Mathematical Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/13504860210146711

zbMATH Keywords

Option PricingDiscrete-time ApproximationsNon-recombining Trees

Mathematics Subject Classification ID

Microeconomic theory (price theory and economic markets) (91B24)

Cites Work

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• The Pricing of Options and Corporate Liabilities
• Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation
• From Discrete‐ to Continuous‐Time Finance: Weak Convergence of the Financial Gain Process¹
• CONVERGENCE OF AMERICAN OPTION VALUES FROM DISCRETE‐ TO CONTINUOUS‐TIME FINANCIAL MODELS¹
• Binomial models for option valuation - examining and improving convergence
• An equilibrium characterization of the term structure
• Option pricing: A simplified approach

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