On the analytical/numerical pricing of American put options against binomial tree prices
We compare the bias in binomial trees against that in certain analytical/numerical valuation techniques with which they disagree. We consider the CRR tree, the COS method and the Leisen--Reimer as well as the Prekopa--Szantai exponentially smoothed method. We conclude that the binomial trees are unbiased and that the exponentially smoothed method is biased.
Year of publication: |
2012
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Authors: | Joshi, Mark ; Staunton, Mike |
Published in: |
Quantitative Finance. - Taylor & Francis Journals, ISSN 1469-7688. - Vol. 12.2012, 1, p. 17-20
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Publisher: |
Taylor & Francis Journals |
Saved in:
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