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Smooth convergence in the binomial model

Author

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  • Lo-Bin Chang
  • Ken Palmer

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Abstract

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Suggested Citation

  • Lo-Bin Chang & Ken Palmer, 2007. "Smooth convergence in the binomial model," Finance and Stochastics, Springer, vol. 11(1), pages 91-105, January.
  • Handle: RePEc:spr:finsto:v:11:y:2007:i:1:p:91-105 DOI: 10.1007/s00780-006-0020-6
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    File URL: http://hdl.handle.net/10.1007/s00780-006-0020-6
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    References listed on IDEAS

    as
    1. 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.
    2. 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.
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    Citations

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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. Lee, Kiseop & Xu, Mingxin, 2007. "Parameter estimation from multinomial trees to jump diffusions with k means clustering," MPRA Paper 3307, University Library of Munich, Germany, revised 26 Apr 2007.
    3. repec:kap:jrefec:v:55:y:2017:i:2:d:10.1007_s11146-016-9576-x is not listed on IDEAS
    4. Karl Grosse-Erdmann & Fabien Heuwelyckx, 2015. "The pricing of lookback options and binomial approximation," Papers 1502.02819, arXiv.org.
    5. Fabien Heuwelyckx, 2013. "Convergence of European Lookback Options with Floating Strike in the Binomial Model," Papers 1302.2312, arXiv.org, revised Oct 2013.
    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. J. X. Jiang & R. H. Liu & D. Nguyen, 2016. "A Recombining Tree Method For Option Pricing With State-Dependent Switching Rates," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 19(02), pages 1-26, March.
    8. Leduc, Guillaume, 2012. "Arbitrarily Fast CRR Schemes," MPRA Paper 42094, University Library of Munich, Germany, revised 20 Oct 2012.
    9. 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.
    10. Glazyrina, Anna & Melnikov, Alexander, 2016. "Bernstein’s inequalities and their extensions for getting the Black–Scholes option pricing formula," Statistics & Probability Letters, Elsevier, vol. 111(C), pages 86-92.

    More about this item

    Keywords

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

    JEL classification:

    • G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing

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