Binomial approximation in financial models: computational simplicity and convergence

An exploration of the potential of transformation and other schemes in approximating diffusions (including those with boundaries) commonly seen in financial models. Convergence results are established for valuing both European and American contingent claims.

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Year of publication:	1992
Authors:	Li, Anlong
Institutions:	Federal Reserve Bank of Cleveland
Subject:	Statistics

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Extent:	application/pdf
Series:	Working Paper.
Type of publication:	Book / Working Paper
Language:	English
Notes:	Number 9201
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005428339