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Smooth convergence in the binomial model

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  • Lo-Bin Chang
  • Ken Palmer

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    Abstract

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    File URL: http://hdl.handle.net/10.1007/s00780-006-0020-6
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    Bibliographic Info

    Article provided by Springer in its journal Finance and Stochastics.

    Volume (Year): 11 (2007)
    Issue (Month): 1 (January)
    Pages: 91-105

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    Handle: RePEc:spr:finsto:v:11:y:2007:i:1:p:91-105

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    Web page: http://www.springerlink.com/content/101164/

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    Related research

    Keywords: Binomial model; Black–Scholes model; Option pricing; Smooth convergence; G13; 62P05;

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    References

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    1. Steve Heston & Guofu Zhou, 2000. "On the Rate of Convergence of Discrete-Time Contingent Claims," Mathematical Finance, Wiley Blackwell, vol. 10(1), pages 53-75.
    2. Kaushik Amin & Ajay Khanna, 1994. "Convergence Of American Option Values From Discrete- To Continuous-Time Financial Models," Mathematical Finance, Wiley Blackwell, vol. 4(4), pages 289-304.
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    Cited by:
    1. Ralf Korn & Stefanie Müller, 2013. "The optimal-drift model: an accelerated binomial scheme," Finance and Stochastics, Springer, vol. 17(1), pages 135-160, January.
    2. Fabien Heuwelyckx, 2013. "Convergence of European Lookback Options with Floating Strike in the Binomial Model," Papers 1302.2312, arXiv.org, revised Oct 2013.
    3. Leduc, Guillaume, 2012. "Arbitrarily Fast CRR Schemes," MPRA Paper 42094, University Library of Munich, Germany, revised 20 Oct 2012.

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