Asymptotics of the price oscillations of a European call option in a tree model
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DOI: 10.1111/j.0960-1627.2004.00192.x
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References listed on IDEAS
- Imme van den Berg, 2000. "Principles of Infinitesimal Stochastic and Financial Analysis," World Scientific Books, World Scientific Publishing Co. Pte. Ltd., number 4468, August.
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Cited by:
- Ralf Korn & Stefanie Müller, 2013. "The optimal-drift model: an accelerated binomial scheme," Finance and Stochastics, Springer, vol. 17(1), pages 135-160, January.
- Mark Joshi & Mike Staunton, 2012. "On the analytical/numerical pricing of American put options against binomial tree prices," Quantitative Finance, Taylor & Francis Journals, vol. 12(1), pages 17-20, December.
- Mark Joshi, 2009. "Achieving smooth asymptotics for the prices of European options in binomial trees," Quantitative Finance, Taylor & Francis Journals, vol. 9(2), pages 171-176.
- Karl Grosse-Erdmann & Fabien Heuwelyckx, 2015. "The pricing of lookback options and binomial approximation," Papers 1502.02819, arXiv.org.
- Atul Chandra & Peter R. Hartley & Gopalan Nair, 2022. "Multiple Volatility Real Options Approach to Investment Decisions Under Uncertainty," Decision Analysis, INFORMS, vol. 19(2), pages 79-98, June.
- San-Lin Chung & Pai-Ta Shih, 2007. "Generalized Cox-Ross-Rubinstein Binomial Models," Management Science, INFORMS, vol. 53(3), pages 508-520, March.
- 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.
- 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.
- Leduc, Guillaume, 2012. "Arbitrarily Fast CRR Schemes," MPRA Paper 42094, University Library of Munich, Germany, revised 20 Oct 2012.
- Jérôme Lelong & Antonino Zanette, 2010. "Tree methods," Post-Print hal-00776713, HAL.
- 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.
- Guillaume Leduc & Merima Nurkanovic Hot, 2020. "Joshi’s Split Tree for Option Pricing," Risks, MDPI, vol. 8(3), pages 1-26, August.
- Fabien Heuwelyckx, 2013. "Convergence of European Lookback Options with Floating Strike in the Binomial Model," Papers 1302.2312, arXiv.org, revised Oct 2013.
- 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.
- Alona Bock & Ralf Korn, 2016. "Improving Convergence of Binomial Schemes and the Edgeworth Expansion," Risks, MDPI, vol. 4(2), pages 1-22, May.
- N. El Karoui & Y. Jiao, 2009. "Stein’s method and zero bias transformation for CDO tranche pricing," Finance and Stochastics, Springer, vol. 13(2), pages 151-180, April.
- Elisa Appolloni & Andrea Ligori, 2014. "Efficient tree methods for pricing digital barrier options," Papers 1401.2900, arXiv.org, revised Jan 2014.
- 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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