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Smooth convergence in the binomial model

✍ Scribed by Lo-Bin Chang; Ken Palmer

Book ID: 106235683
Publisher: Springer-Verlag
Year: 2006
Tongue: English
Weight: 196 KB
Volume: 11
Category: Article
ISSN: 0949-2984
DOI: 10.1007/s00780-006-0020-6

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## 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