Improving convergence of binomial schemes and the Edgeworth expansion

Alona Bock and Ralf Korn

Binomial trees are very popular in both theory and applications of option pricing. As they often suffer from an irregular convergence behavior, improving this is an important task. We build upon a new version of the Edgeworth expansion for lattice models to construct new and quickly converging binomial schemes with a particular application to barrier options.

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Year of publication:	June 2016
Authors:	Bock, Alona ; Korn, Ralf
Published in:	Risks : open access journal. - Basel : MDPI, ISSN 2227-9091, ZDB-ID 2704357-5. - Vol. 4.2016, 2, p. 1-22
Subject:	binomial model \| Black-Scholes model \| option pricing \| accelerated convergence \| weak convergence \| Optionspreistheorie \| Option pricing theory \| Black-Scholes-Modell \| Wirtschaftliche Konvergenz \| Economic convergence \| Stochastischer Prozess \| Stochastic process

Type of publication:	Article
Type of publication (narrower categories):	Aufsatz in Zeitschrift ; Article in journal
Language:	English
Other identifiers:	10.3390/risks4020015 [DOI] hdl:10419/167885 [Handle]
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10011507486