The Accelerated Binomial Option Pricing Model
This paper describes the application of a convergence acceleration technique to the binomial option pricing model. The resulting model, termed the accelerated binomial option pricing model, also can be viewed as an approximation to the Geske-Johnson model for the value of the American put. The new model is accurate and faster than the conventional binomial model. It is applicable to a wide range of option pricing problems.
Volume (Year): 26 (1991)
Issue (Month): 02 (June)
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