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The rate of convergence of the binomial tree scheme

✍ Scribed by John B. Walsh


Publisher
Springer-Verlag
Year
2003
Tongue
English
Weight
284 KB
Volume
7
Category
Article
ISSN
0949-2984

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πŸ“œ SIMILAR VOLUMES


On the rate of convergence of binomial G
✍ 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