Can high-order convergence of European option prices be achieved with common CRR-type binomial trees?

DOI10.1007/s40840-015-0221-2zbMath1354.91152OpenAlexW2177590732MaRDI QIDQ503509

Guillaume Leduc

Publication date: 13 January 2017

Published in: Bulletin of the Malaysian Mathematical Sciences Society. Second Series (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s40840-015-0221-2

zbMATH Keywords

rate of convergenceoptionbinomial tree

Mathematics Subject Classification ID

Applications of Markov chains and discrete-time Markov processes on general state spaces (social mobility, learning theory, industrial processes, etc.) (60J20) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (2)

A q -binomial extension of the CRR asset pricing model ⋮ WHAT A DIFFERENCE ONE PROBABILITY MAKES IN THE CONVERGENCE OF BINOMIAL TREES

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