Option convergence rate with geometric random walks approximations
Author:
Publisher
Informa UK Limited
Subject
Applied Mathematics,Statistics, Probability and Uncertainty,Statistics and Probability
Link
http://www.tandfonline.com/doi/pdf/10.1080/07362994.2016.1171721
Reference47 articles.
1. Convergence of the trinomial tree method for pricing European/American options
2. Binomial approximation of Brownian motion and its maximum
3. Trinomial or binomial: Accelerating American put option price on trees
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