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

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Type of publication:	Book / Working Paper
Language:	English
Notes:	Leduc, Guillaume (2012): Arbitrarily Fast CRR Schemes.
Classification:	G13 - Contingent Pricing; Futures Pricing
Source:	BASE

Persistent link: https://www.econbiz.de/10015234290