Path independence of exotic options and convergence of binomial approximations
Year of publication: |
2019
|
---|---|
Authors: | Leduc, Guillaume ; Palmer, Kenneth J. |
Published in: |
The journal of computational finance. - London : Infopro Digital Risk, ISSN 1460-1559, ZDB-ID 1433009-X. - Vol. 23.2019, 2, p. 73-102
|
Subject: | Black-Scholes | barrier | lookback | binominal | path dependence | convergence | Optionspreistheorie | Option pricing theory | Optionsgeschäft | Option trading | Black-Scholes-Modell | Black-Scholes model |
-
Convergence of European lookback options with floating strike in the binomial model
Heuwelyckx, Fabien, (2014)
-
Singh, Vipul Kumar, (2015)
-
Performance of Black-Scholes model with TSRV estimates
Singh, Shivam, (2015)
- More ...
-
What a difference one probability makes in the convergence of binomial trees
Leduc, Guillaume, (2020)
-
The convergence rate of option prices in trinomial trees
Leduc, Guillaume, (2023)
-
Convergence of barrier option prices in the binomial model
Lin, Jhihrong, (2013)
- More ...