Binomial models for option valuation - examining and improving convergence
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DOI: 10.1080/13504869600000015
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- Nelson, Daniel B & Ramaswamy, Krishna, 1990. "Simple Binomial Processes as Diffusion Approximations in Financial Models," The Review of Financial Studies, Society for Financial Studies, vol. 3(3), pages 393-430.
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Keywords
binomial model; option valuation; order of convergence; convergence pattern;All these keywords.
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