The optimal-drift model: an accelerated binomial scheme
type: Item
instance of: scholarly article
title: The optimal-drift model: an accelerated binomial scheme
zbMATH Open document ID: 1257.91047
author: Ralf Korn
author: Stefanie Müller
published in: Finance and Stochastics
publication date: 2013-02-07T00:00:00Z
Mathematics Subject Classification ID: 91G20
Mathematics Subject Classification ID: 91G60
zbMATH DE Number: 6135144
zbMATH Keywords: binomial model
zbMATH Keywords: Black-Scholes model
zbMATH Keywords: option pricing
zbMATH Keywords: accelerated convergence
zbMATH Keywords: weak convergence
MaRDI profile type: Publication
full work available at URL: s00780-012-0179-y
OpenAlex ID: W2002952800
cites work: CONVERGENCE OF AMERICAN OPTION VALUES FROM DISCRETE‐ TO CONTINUOUS‐TIME FINANCIAL MODELS1
cites work: Q5560061
cites work: Arbitrage Theory in Continuous Time
cites work: Smooth convergence in the binomial model
cites work: Option pricing: A simplified approach
cites work: Asymptotics of the price oscillations of a European call option in a tree model
cites work: Pricing the American put option: A detailed convergence analysis for binomial models
cites work: Binomial models for option valuation - examining and improving convergence
DOI: 10.1007/S00780-012-0179-Y
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description: scientific article; zbMATH DE number 6135144