Trinomial or binomial: Accelerating American put option price on trees
Author:
Publisher
Wiley
Subject
Economics and Econometrics,Finance,General Business, Management and Accounting,Accounting
Link
http://onlinelibrary.wiley.com/wol1/doi/10.1002/fut.20389/fullpdf
Reference9 articles.
1. Curtailing the range for lattice and grid methods;Andicropoulos;Journal of Derivatives,2004
2. Option valuation using a three-jump process;Boyle;International options Journal,1986
3. American option valuation: New bounds, approximations, and a comparison of existing methods;Broadie;The Review of Financial Studies,1996
4. The use of the control variate technique in option pricing;Hull;Journal of Financial and Quantitative Analysis,1988
5. Joshi, M. (2007a). Achieving smooth convergence for the prices of European options in binomial trees. Quantitative Finance, to appear.
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