WHAT A DIFFERENCE ONE PROBABILITY MAKES IN THE CONVERGENCE OF BINOMIAL TREES

DOI10.1142/S0219024920500405zbMath1457.91381OpenAlexW3047637516MaRDI QIDQ5148007

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Publication date: 29 January 2021

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1142/s0219024920500405

zbMATH Keywords

Black-Scholes modelbinomial modelsmooth convergenceterminal probability

Mathematics Subject Classification ID

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

Cites Work

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• Achieving smooth asymptotics for the prices of European options in binomial trees
• Binomial models for option valuation - examining and improving convergence
• An explicit finite difference approach to the pricing of barrier options
• Asymptotics of the price oscillations of a European call option in a tree model
• The Mathematics of Financial Derivatives
• CONVERGENCE OF BARRIER OPTION PRICES IN THE BINOMIAL MODEL
• ACHIEVING HIGHER ORDER CONVERGENCE FOR THE PRICES OF EUROPEAN OPTIONS IN BINOMIAL TREES

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