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On the Rate of Convergence of Discrete‐Time Contingent Claims

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References

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1988The Use of the Control Variate Technique in Option Pricing204 cited
1996Binomial models for option valuation - examining and improving convergence173 cited
1990Convergence from Discrete- to Continuous-Time Contingent Claims Prices169 cited

Cited by

2003Convergence remedies for non-smooth payoffs in option pricing155 cited
1999A flexible binomial option pricing model95 cited
2003Application of the Fast Gauss Transform to Option Pricing

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89 cited

2002Convergence of numerical methods for valuing path-dependent options using interpolation77 cited

2010REGIME-SWITCHING RECOMBINING TREE FOR OPTION PRICING68 cited

2007A fast high-order finite difference algorithm for pricing American options68 cited

2004Asymptotics of the price oscillations of a European call option in a tree model68 cited

2000QUADRATIC CONVERGENCE OF A PENALTY METHOD FOR VALUING AMERICAN OPTIONS64 cited

2020Deep neural network framework based on backward stochastic differential equations for pricing and hedging American options in high dimensions63 cited

2010The Bino-Trinomial Tree: A Simple Model for Efficient and Accurate Option Pricing58 cited

2006Smooth convergence in the binomial model57 cited

2007Richardson extrapolation techniques for the pricing of American‐style options57 cited

2017Error analysis of finite difference and Markov chain approximations for option pricing49 cited

2012Finite-Element Methods46 cited

2001Pricing Algorithms for Options with Exotic Path-Dependence43 cited

2003Negative coefficients in two-factor option pricing models42 cited