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Asymptotics of the price oscillations of a European call option in a tree model

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  • Francine Diener
  • MARC Diener

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  • Francine Diener & MARC Diener, 2004. "Asymptotics of the price oscillations of a European call option in a tree model," Mathematical Finance, Wiley Blackwell, vol. 14(2), pages 271-293.
  • Handle: RePEc:bla:mathfi:v:14:y:2004:i:2:p:271-293
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    File URL: http://www.blackwell-synergy.com/doi/abs/10.1111/j.0960-1627.2004.00192.x
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    References listed on IDEAS

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    1. Imme van den Berg, 2000. "Principles of Infinitesimal Stochastic and Financial Analysis," World Scientific Books, World Scientific Publishing Co. Pte. Ltd., number 4468.
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    Cited by:

    1. Karl Grosse-Erdmann & Fabien Heuwelyckx, 2015. "The pricing of lookback options and binomial approximation," Papers 1502.02819, arXiv.org.
    2. San-Lin Chung & Pai-Ta Shih, 2007. "Generalized Cox-Ross-Rubinstein Binomial Models," Management Science, INFORMS, vol. 53(3), pages 508-520, March.
    3. Leduc, Guillaume, 2012. "Arbitrarily Fast CRR Schemes," MPRA Paper 42094, University Library of Munich, Germany, revised 20 Oct 2012.
    4. Jérôme Lelong & Antonino Zanette, 2010. "Tree methods," Post-Print hal-00776713, HAL.
    5. Wael Bahsoun & Pawel Góra & Silvia Mayoral & Manuel Morales, 2006. "Random Dynamics and Finance: Constructing Implied Binomial Trees from a Predetermined Stationary Den," Faculty Working Papers 13/06, School of Economics and Business Administration, University of Navarra.
    6. Alona Bock & Ralf Korn, 2016. "Improving Convergence of Binomial Schemes and the Edgeworth Expansion," Risks, MDPI, Open Access Journal, vol. 4(2), pages 1-22, May.
    7. Elisa Appolloni & Andrea Ligori, 2014. "Efficient tree methods for pricing digital barrier options," Papers 1401.2900, arXiv.org, revised Jan 2014.
    8. Karl Grosse-Erdmann & Fabien Heuwelyckx, 2016. "The pricing of lookback options and binomial approximation," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 39(1), pages 33-67, April.

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