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文章基本信息

  • 标题:Improving Convergence of Binomial Schemes and the Edgeworth Expansion
  • 本地全文:下载
  • 作者:Bock, Alona ; Korn, Ralf
  • 期刊名称:Risks
  • 印刷版ISSN:2227-9091
  • 出版年度:2016
  • 卷号:4
  • 期号:2
  • 出版社:MDPI, Open Access Journal
  • 摘要:Binomial trees are very popular in both theory and applications of option pricing. As they often suffer from an irregular convergence behavior, improving this is an important task. We build upon a new version of the Edgeworth expansion for lattice models to construct new and quickly converging binomial schemes with a particular application to barrier options.
  • 关键词:binomial model; Black–Scholes model; option pricing; accelerated convergence; weak convergence
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