Can High-Order Convergence of European Option Prices be Achieved with Common CRR-Type Binomial Trees?
Author:
Publisher
Springer Science and Business Media LLC
Subject
General Mathematics
Link
http://link.springer.com/content/pdf/10.1007/s40840-015-0221-2.pdf
Reference28 articles.
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4. Diener, F., Diener, M.: Asymptotics of the price oscillations of a European call option in a tree model. Math. Financ. 14(2), 271–293 (2004)
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