ACHIEVING HIGHER ORDER CONVERGENCE FOR THE PRICES OF EUROPEAN OPTIONS IN BINOMIAL TREES

DOI10.1111/j.1467-9965.2009.00390.xzbMath1182.91177OpenAlexW3121994681MaRDI QIDQ5190052

Mark S. Joshi

Publication date: 12 March 2010

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

Full work available at URL: https://doi.org/10.1111/j.1467-9965.2009.00390.x

zbMATH Keywords

optionsrate of convergenceRichardson extrapolationbinomial trees

Mathematics Subject Classification ID

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

Related Items (9)

A q -binomial extension of the CRR asset pricing model ⋮ Analysis of Markov Chain Approximation for Option Pricing and Hedging: Grid Design and Convergence Behavior ⋮ 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? ⋮ CONVERGENCE OF BARRIER OPTION PRICES IN THE BINOMIAL MODEL ⋮ Improving speed of convergence for the prices of European options in binomial trees with even numbers of steps ⋮ 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

• Unnamed Item
• Achieving smooth asymptotics for the prices of European options in binomial trees
• Asymptotics of the price oscillations of a European call option in a tree model
• Option pricing: A simplified approach

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