European Option General First Order Error Formula
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References listed on IDEAS
- Dietmar Leisen & Matthias Reimer, 1996. "Binomial models for option valuation - examining and improving convergence," Applied Mathematical Finance, Taylor & Francis Journals, vol. 3(4), pages 319-346.
- Cox, John C. & Ross, Stephen A. & Rubinstein, Mark, 1979. "Option pricing: A simplified approach," Journal of Financial Economics, Elsevier, vol. 7(3), pages 229-263, September.
- Carbone, Raffaella, 2004. "Binomial approximation of Brownian motion and its maximum," Statistics & Probability Letters, Elsevier, vol. 69(3), pages 271-285, September.
More about this item
KeywordsEuropean options; approximation scheme; error formula; Black-Scholes;
- G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2012-10-27 (All new papers)
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