CONVERGENCE OF BARRIER OPTION PRICES IN THE BINOMIAL MODEL

DOI10.1111/j.1467-9965.2011.00501.xzbMath1262.91136OpenAlexW1951071511MaRDI QIDQ4917302

Jhihrong Lin, Kenneth James Palmer

Publication date: 29 April 2013

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

Full work available at URL: https://doi.org/10.1111/j.1467-9965.2011.00501.x

zbMATH Keywords

barrierbinomialBlack-Scholescall option

Mathematics Subject Classification ID

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

Related Items (13)

The pricing of lookback options and binomial approximation ⋮ Pricing exotic derivatives exploiting structure ⋮ THE BINOMIAL INTERPOLATED LATTICE METHOD FOR STEP DOUBLE BARRIER OPTIONS ⋮ Geometric step options and Lévy models: duality, pides, and semi-analytical pricing ⋮ On the convergence scheme in the CRR model ⋮ Analysis of Markov Chain Approximation for Option Pricing and Hedging: Grid Design and Convergence Behavior ⋮ Unnamed Item ⋮ 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? ⋮ American step options ⋮ Option convergence rate with geometric random walks approximations ⋮ A EUROPEAN OPTION GENERAL FIRST-ORDER ERROR FORMULA ⋮ CONVERGENCE OF EUROPEAN LOOKBACK OPTIONS WITH FLOATING STRIKE IN THE BINOMIAL MODEL

Cites Work

• Binomial approximation of Brownian motion and its maximum
• The rate of convergence of the binomial tree scheme
• Weak approximation of killed diffusion using Euler schemes.
• Smooth convergence in the binomial model
• A Continuity Correction for Discrete Barrier Options
• Achieving smooth asymptotics for the prices of European options in binomial trees
• Binomial models for option valuation - examining and improving convergence
• Asymptotics of the price oscillations of a European call option in a tree model
• ACHIEVING HIGHER ORDER CONVERGENCE FOR THE PRICES OF EUROPEAN OPTIONS IN BINOMIAL TREES
• Option pricing: A simplified approach
• The Minimal Entropy Martingale Measure and the Valuation Problem in Incomplete Markets

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