Binomial approximation in financial models: computational simplicity and convergence
AbstractAn exploration of the potential of transformation and other schemes in approximating diffusions (including those with boundaries) commonly seen in financial models. Convergence results are established for valuing both European and American contingent claims.
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Bibliographic InfoPaper provided by Federal Reserve Bank of Cleveland in its series Working Paper with number 9201.
Date of creation: 1992
Date of revision:
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