Showing 1 - 2 of 2
We introduce the optimal-drift model for the approximation of a lognormal stock price process by an accelerated binomial scheme. This model converges with order o(1/N), which is superior compared to today’s benchmark methods. Our approach is based on the observation that risk-neutral binomial...
Persistent link: https://www.econbiz.de/10010997043
Persistent link: https://www.econbiz.de/10005184381