Access the full text.
Sign up today, get DeepDyve free for 14 days.
M. Joshi (2011)
More Mathematical Finance
Bei Hu, Jin Liang, Lishang Jiang (2009)
Optimal convergence rate of the explicit finite difference scheme for American option valuationJournal of Computational and Applied Mathematics, 230
Dietmar Leisen (1998)
Pricing the American put option: A detailed convergence analysis for binomial modelsJournal of Economic Dynamics and Control, 22
D. Lamberton (1998)
ERROR ESTIMATES FOR THE BINOMIAL APPROXIMATION OF AMERICAN PUT OPTIONSAnnals of Applied Probability, 8
M. Joshi (2006)
Achieving smooth asymptotics for the prices of European options in binomial treesQuantitative Finance, 9
Lamberton (2002)
Brownian Optimal Stopping and Random WalksApplied Mathematics & Optimization, 45
S. Heston, Guofu Zhou (2000)
On the Rate of Convergence of Discrete‐Time Contingent ClaimsMathematical Finance, 10
Xiaoyong Xiao (2010)
Improving speed of convergence for the prices of European options in binomial trees with even numbers of stepsAppl. Math. Comput., 216
G. Leduc (2008)
Exercisability Randomization of the American OptionStochastic Analysis and Applications, 26
M. Joshi (2007)
ACHIEVING HIGHER ORDER CONVERGENCE FOR THE PRICES OF EUROPEAN OPTIONS IN BINOMIAL TREESMathematical Finance, 20
(2005)
Higher-order terms for the de Moivre-Laplace theorem
Jin Liang, Bei Hu, Lishang Jiang, B. Bian (2007)
On the rate of convergence of the binomial tree scheme for American optionsNumerische Mathematik, 107
D. Lamberton, Leonard Rogers (2000)
Optimal stopping and embeddingJournal of Applied Probability, 37
L. Chang, K. Palmer (2006)
Smooth convergence in the binomial modelFinance and Stochastics, 11
Y. Kifer (2006)
Error estimates for binomial approximations of game optionsAnnals of Applied Probability, 18
R. Carbone (2004)
Binomial approximation of Brownian motion and its maximumStatistics & Probability Letters, 69
P. Dupuis, Hui Wang (2005)
On the convergence from discrete to continuous time in an optimal stopping problemAnnals of Applied Probability, 15
G. Leduc (2013)
A EUROPEAN OPTION GENERAL FIRST-ORDER ERROR FORMULAThe ANZIAM Journal, 54
G. Leduc (2013)
CONVERGENCE RATE OF THE BINOMIAL TREE SCHEME FOR CONTINUOUSLY PAYING OPTIONS
Yisong Tian (1999)
A flexible binomial option pricing modelJournal of Futures Markets, 19
R. Korn, S. Müller (2013)
The optimal-drift model: an accelerated binomial schemeFinance and Stochastics, 17
Jhih-Hao Lin, Ken Palmer (2013)
CONVERGENCE OF BARRIER OPTION PRICES IN THE BINOMIAL MODELMathematical Finance, 23
J. Walsh (2003)
The rate of convergence of the binomial tree schemeFinance and Stochastics, 7
(1999)
Vitesse de convergence pour des approximations de type binomial
F. Diener, Marc Diener (2004)
Asymptotics of the price oscillations of a European call option in a tree modelMathematical Finance, 14
Dietmar Leisen, M. Reimer (1995)
Binomial models for option valuation - examining and improving convergenceApplied Mathematical Finance, 3
J. Cox, S. Ross, M. Rubinstein. (1979)
Option pricing: A simplified approach☆Journal of Financial Economics, 7
P. Dupuis, Hui Wang (2002)
Optimal stopping with random intervention timesAdvances in Applied Probability, 34
Considering European call options, we prove that CRR-type binomial trees systematically underprice the value of these options, when the spot price is not near the money. However, we show that, with a volatility premium to compensate this mispricing, any arbitrarily high order of convergence can be achieved, within the common CRR-type binomial tree framework.
Bulletin of the Malaysian Mathematical Sciences Society – Springer Journals
Published: Sep 15, 2015
Read and print from thousands of top scholarly journals.
Already have an account? Log in
Bookmark this article. You can see your Bookmarks on your DeepDyve Library.
To save an article, log in first, or sign up for a DeepDyve account if you don’t already have one.
Copy and paste the desired citation format or use the link below to download a file formatted for EndNote
Access the full text.
Sign up today, get DeepDyve free for 14 days.
All DeepDyve websites use cookies to improve your online experience. They were placed on your computer when you launched this website. You can change your cookie settings through your browser.