Leduc, Guillaume; Palmer, Kenneth J. - In: Risks : open access journal 11 (2023) 3, pp. 1-33
We study the convergence of the binomial, trinomial, and more generally m-nomial tree schemes when evaluating certain European path-independent options in the Black-Scholes setting. To our knowledge, the results here are the first for trinomial trees. Our main result provides formulae for the...