In this paper, we focus on two-factor lattices for general diffusion processes with state-dependent volatilities. Although it is common knowledge that branching probabilities must be between zero and one in a lattice, few methods can guarantee lattice feasibility, referring to the property that...

In this paper, we focus on two-factor lattices for general diffusion processes with state-dependent volatilities. Although it is common knowledge that branching probabilities must be between zero and one in a lattice, few methods can guarantee lattice feasibility, referring to the property that...

This paper investigates the convergence patterns and the rates of convergence of binomial Greeks for the CRR model and several smooth-convergence models in the literature, including the binomial Black-Scholes (BBS) model of Broadie and Detemple (1996), the flexible binomial model (FB) of Tian...