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A note on modified lattice approaches to option pricing

✍ Scribed by Easton, Stephen A.

Publisher
John Wiley and Sons
Year
1996
Tongue
English
Weight
448 KB
Volume
16
Category
Article
ISSN
0270-7314

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✦ Synopsis

This concept may be illustrated by considering two sequences: (a, = 1 -1/27 and (b, = 1 -1/ n). Both sequences converge to 1 but the sequence (a,) converges to 1 faster than the sequence (bJ.

At the 0.05 precision level, the minimum convergence step for a, is 5, while the minimum convergence step for b, is 2 1.

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