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The rate of convergence of the binomial tree scheme · Study

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ArticleThe rate of convergence of the binomial tree scheme

John B. Walsh2003

Article2003

The rate of convergence of the binomial tree scheme

71 citations·0/0 files stored·Finance and Stochastics

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Stochastic processes and financial applications Financial Markets and Investment Strategies Mathematical Approximation and Integration

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References

2007Brownian Motion and Stochastic Calculus 1979Option pricing: A simplified approach 1998Methods of Mathematical Finance 1996Binomial models for option valuation - examining and improving convergence

Cited by

2010REGIME-SWITCHING RECOMBINING TREE FOR OPTION PRICING 2006Smooth convergence in the binomial model 2017Error analysis of finite difference and Markov chain approximations for option pricing 2013Dynkin's Games and Israeli Options 2007A Synthesis of Binomial Option Pricing Models for Lognormally Distributed Assets 2019Analysis of Markov Chain Approximation for Option Pricing and Hedging: Grid Design and Convergence Behavior 2012A new tree method for pricing financial derivatives in a regime-switching mean-reverting model 2009The convergence of binomial trees for pricing the American put

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Year2003

Typearticle

Published2003-07-01

VenueFinance and Stochastics

ISSN-L0949-2984

Languageen

Citations71

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.1007/s007800200094

openalex_workW2035101758

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