A comparison of lattice based option pricing models on the rate of convergence

DOI10.1016/J.AMC.2006.06.064zbMath1286.91148OpenAlexW2062418210MaRDI QIDQ879530

Mehmet Horasanlı

Publication date: 14 May 2007

Published in: Applied Mathematics and Computation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.amc.2006.06.064

zbMATH Keywords

latticebinomial modelBlack-Scholes partial differential equationtrinomial model

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (2)

Chapman-Kolmogorov lattice method for derivatives pricing ⋮ Building recombining trinomial trees for time-homogeneous diffusion processes

Cites Work

• The Pricing of Options and Corporate Liabilities
• Option pricing: A simplified approach
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