Arbitrarily Fast CRR Schemes

We introduce a method for the approximation of a lognormal stock price process by a Cox, Ross and Rubinstein (CRR) type of binomial scheme, which allows to reach arbitrary speed of convergence of order O(n^{-(N/2)}), for any integer N>0.

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Year of publication:	2012-09-26
Authors:	Leduc, Guillaume
Institutions:	Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München
Subject:	European options \| binomial scheme error \| Black-Scholes

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Extent:	application/pdf
Series:	MPRA Paper.
Type of publication:	Book / Working Paper
Classification:	G13 - Contingent Pricing; Futures Pricing
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10011109152