Rate of convergence of binomial formula for option pricing

DOI10.1080/03610926.2019.1590600OpenAlexW2930668842WikidataQ128145137 ScholiaQ128145137MaRDI QIDQ5077442

K. Neammanee, Yuttana Ratibenyakool

Publication date: 18 May 2022

Published in: Communications in Statistics - Theory and Methods (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610926.2019.1590600

zbMATH Keywords

option pricingBlack-Scholes modelbinomial model

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistics (62-XX)

Related Items (1)

Convergence of trinomial formula for European option pricing

Cites Work

• The Pricing of Options and Corporate Liabilities
• The rate of convergence of the binomial tree scheme
• On a bound of the absolute constant in the Berry-Esseen inequality for i.i.d. Bernoulli random variables
• 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
• The Minimal Entropy Martingale Measure and the Valuation Problem in Incomplete Markets
• Unnamed Item

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