Achieving smooth asymptotics for the prices of European options in binomial trees
Year of publication: |
2009
|
---|---|
Authors: | Joshi, Mark |
Published in: |
Quantitative Finance. - Taylor & Francis Journals, ISSN 1469-7688. - Vol. 9.2009, 2, p. 171-176
|
Publisher: |
Taylor & Francis Journals |
Subject: | Binomial trees | Richardson extrapolation | Options | Rate of convergence |
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