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On the Rate of Convergence of Discrete‐Time Contingent Claims

Citations

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Cited by:

  1. Gongqiu Zhang & Lingfei Li, 2019. "Analysis of Markov Chain Approximation for Option Pricing and Hedging: Grid Design and Convergence Behavior," Operations Research, INFORMS, vol. 67(2), pages 407-427, March.
  2. N. Hilber & N. Reich & C. Schwab & C. Winter, 2009. "Numerical methods for Lévy processes," Finance and Stochastics, Springer, vol. 13(4), pages 471-500, September.
  3. Luca Barzanti & Corrado Corradi & Martina Nardon, 2006. "On the efficient application of the repeated Richardson extrapolation technique to option pricing," Working Papers 147, Department of Applied Mathematics, Università Ca' Foscari Venezia.
  4. 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.
  5. Chuang-Chang Chang & Jun-Biao Lin & Wei-Che Tsai & Yaw-Huei Wang, 2012. "Using Richardson extrapolation techniques to price American options with alternative stochastic processes," Review of Quantitative Finance and Accounting, Springer, vol. 39(3), pages 383-406, October.
  6. Simona Sanfelici, 2004. "Galerkin infinite element approximation for pricing barrier options and options with discontinuous payoff," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 27(2), pages 125-151, December.
  7. Yangang Chen & Justin W. L. Wan, 2019. "Deep Neural Network Framework Based on Backward Stochastic Differential Equations for Pricing and Hedging American Options in High Dimensions," Papers 1909.11532, arXiv.org.
  8. Dong An & Noah Linden & Jin-Peng Liu & Ashley Montanaro & Changpeng Shao & Jiasu Wang, 2020. "Quantum-accelerated multilevel Monte Carlo methods for stochastic differential equations in mathematical finance," Papers 2012.06283, arXiv.org, revised Jun 2021.
  9. Aricson Cruz & José Carlos Dias, 2020. "Valuing American-style options under the CEV model: an integral representation based method," Review of Derivatives Research, Springer, vol. 23(1), pages 63-83, April.
  10. Lo-Bin Chang & Ken Palmer, 2007. "Smooth convergence in the binomial model," Finance and Stochastics, Springer, vol. 11(1), pages 91-105, January.
  11. Evis Këllezi & Nick Webber, 2004. "Valuing Bermudan options when asset returns are Levy processes," Quantitative Finance, Taylor & Francis Journals, vol. 4(1), pages 87-100.
  12. Raahauge, Peter, 2004. "Higher-Order Finite Element Solutions of Option Prices," Working Papers 2004-5, Copenhagen Business School, Department of Finance.
  13. John Armstrong & Andrei Ionescu, 2023. "Gamma Hedging and Rough Paths," Papers 2309.05054, arXiv.org, revised Mar 2024.
  14. Primbs, James A. & Yamada, Yuji, 2006. "A moment computation algorithm for the error in discrete dynamic hedging," Journal of Banking & Finance, Elsevier, vol. 30(2), pages 519-540, February.
  15. Katarzyna Toporek, 2012. "Simple is better. Empirical comparison of American option valuation methods," Ekonomia journal, Faculty of Economic Sciences, University of Warsaw, vol. 29.
  16. San-Lin Chung & Pai-Ta Shih, 2007. "Generalized Cox-Ross-Rubinstein Binomial Models," Management Science, INFORMS, vol. 53(3), pages 508-520, March.
  17. 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.
  18. Kyoung-Sook Moon & Hongjoong Kim, 2013. "A multi-dimensional local average lattice method for multi-asset models," Quantitative Finance, Taylor & Francis Journals, vol. 13(6), pages 873-884, May.
  19. Jean-Christophe Breton & Youssef El-Khatib & Jun Fan & Nicolas Privault, 2021. "A q-binomial extension of the CRR asset pricing model," Papers 2104.10163, arXiv.org, revised Feb 2023.
  20. Mark Broadie & Yusaku Yamamoto, 2003. "Application of the Fast Gauss Transform to Option Pricing," Management Science, INFORMS, vol. 49(8), pages 1071-1088, August.
  21. Kozpınar, Sinem & Uzunca, Murat & Karasözen, Bülent, 2020. "Pricing European and American options under Heston model using discontinuous Galerkin finite elements," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 177(C), pages 568-587.
  22. Nicola Bruti Liberati & Eckhard Platen, 2004. "On the Efficiency of Simplified Weak Taylor Schemes for Monte Carlo Simulation in Finance," Research Paper Series 114, Quantitative Finance Research Centre, University of Technology, Sydney.
  23. Chung, San-Lin & Shih, Pai-Ta, 2009. "Static hedging and pricing American options," Journal of Banking & Finance, Elsevier, vol. 33(11), pages 2140-2149, November.
  24. Mark Broadie & Jerome B. Detemple, 2004. "ANNIVERSARY ARTICLE: Option Pricing: Valuation Models and Applications," Management Science, INFORMS, vol. 50(9), pages 1145-1177, September.
  25. Chandra Sekhara Rao, S. & Manisha,, 2018. "Numerical solution of generalized Black–Scholes model," Applied Mathematics and Computation, Elsevier, vol. 321(C), pages 401-421.
  26. H'el`ene Halconruy, 2021. "The insider problem in the trinomial model: a discrete-time jump process approach," Papers 2106.15208, arXiv.org, revised Sep 2023.
  27. Kim, Young Shin & Stoyanov, Stoyan & Rachev, Svetlozar & Fabozzi, Frank J., 2019. "Enhancing binomial and trinomial equity option pricing models," Finance Research Letters, Elsevier, vol. 28(C), pages 185-190.
  28. Hörfelt, Per, 2003. "A probabilistic interpretation of the [theta]-method," Statistics & Probability Letters, Elsevier, vol. 62(2), pages 117-122, April.
  29. Chang, Chuang-Chang & Lin, Jun-Biao, 2010. "The valuation of contingent claims using alternative numerical methods," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 20(5), pages 490-508, December.
  30. Chiu, Chun-Yuan & Dai, Tian-Shyr & Lyuu, Yuh-Dauh, 2015. "Pricing Asian option by the FFT with higher-order error convergence rate under Lévy processes," Applied Mathematics and Computation, Elsevier, vol. 252(C), pages 418-437.
  31. Windcliff, H. & Vetzal, K. R. & Forsyth, P. A. & Verma, A. & Coleman, T. F., 2003. "An object-oriented framework for valuing shout options on high-performance computer architectures," Journal of Economic Dynamics and Control, Elsevier, vol. 27(6), pages 1133-1161, April.
  32. Khaliq, A.Q.M. & Voss, D.A. & Yousuf, M., 2007. "Pricing exotic options with L-stable Pade schemes," Journal of Banking & Finance, Elsevier, vol. 31(11), pages 3438-3461, November.
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