-model the convergence behaviour is extremely smooth in our model. By using extrapolation we therefore achieve order of … convergence two. This way it is an efficient tool for pricing purposes in the Black-Scholes setup, since the CRR model and its …

. In the case of the European call option Leisen and Reimer[96] examined convergence speed by the order of convergence in a … bounded by suitable sequences with order of convergence 1/2 from above and by 2/3 from below. However, the simulation results … representation is derived using the concept of order of convergence. This allows an error analysis of extrapolation. Moreover we …

irregularities occur. For this case, sources of convergence patterns are explained. Furthermore, it is proved order of convergence … remarkably, we even achieve order of convergence two with much smaller initial error. Notably, solely the formulas to determine … set of refinements. Approximation of American type options with the new models exhibits order of convergence one but …