𝔖 Bobbio Scriptorium
✦   LIBER   ✦

On the rate of convergence of the binomial tree scheme for American options

✍ Scribed by Jin Liang; Bei Hu; Lishang Jiang; Baojun Bian

Publisher
Springer-Verlag
Year
2007
Tongue
English
Weight
273 KB
Volume
107
Category
Article
ISSN
0029-599X

No coin nor oath required. For personal study only.

πŸ“œ SIMILAR VOLUMES

Optimal convergence rate of the explicit
Optimal convergence rate of the explicit finite difference scheme for American option valuation
✍ Bei Hu; Jin Liang; Lishang Jiang πŸ“‚ Article πŸ“… 2009 πŸ› Elsevier Science 🌐 English βš– 897 KB

An optimal convergence rate O(βˆ†x) for an explicit finite difference scheme for a variational inequality problem is obtained under the stability condition Οƒ 2 βˆ†t βˆ†x 2 1 using completely PDE methods. As a corollary, a binomial tree scheme of an American put option (where Οƒ 2 βˆ†t βˆ†x 2 = 1) is convergent

Canonical distribution, implied binomial
Canonical distribution, implied binomial tree, and the pricing of American options
✍ Qiang Liu; Shuxin Guo πŸ“‚ Article πŸ“… 2011 πŸ› John Wiley and Sons 🌐 English βš– 123 KB

In this study, a new approach to pricing American options is proposed and termed the canonical implied binomial (CIB) tree method. CIB takes advantage of both canonical valuation (Stutzer, 1996) and the implied binomial tree method (Rubinstein, 1994). Using simulated returns from geometric Brownian

On the rate of convergence of binomial G
On the rate of convergence of binomial Greeks
✍ San-Lin Chung; Weifeng Hung; Han-Hsing Lee; Pai-Ta Shih πŸ“‚ Article πŸ“… 2010 πŸ› John Wiley and Sons 🌐 English βš– 624 KB

## Abstract This study investigates the convergence patterns and the rates of convergence of binomial Greeks for the CRR model and several smooth price convergence models in the literature, including the binomial Black–Scholes (BBS) model of Broadie M and Detemple J (1996), the flexible binomial mo