Arbitrarily Fast CRR Schemes
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References listed on IDEAS
- Lo-Bin Chang & Ken Palmer, 2007. "Smooth convergence in the binomial model," Finance and Stochastics, Springer, vol. 11(1), pages 91-105, January.
- Francine Diener & MARC Diener, 2004. "Asymptotics of the price oscillations of a European call option in a tree model," Mathematical Finance, Wiley Blackwell, vol. 14(2), pages 271-293, April.
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Cited by:
- Alona Bock & Ralf Korn, 2016. "Improving Convergence of Binomial Schemes and the Edgeworth Expansion," Risks, MDPI, vol. 4(2), pages 1-22, May.
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More about this item
Keywords
European options; binomial scheme error; Black-Scholes;All these keywords.
JEL classification:
- G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
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