Bock, Alona; Korn, Ralf - In: Risks : open access journal 4 (2016) 2, pp. 1-22
Binomial trees are very popular in both theory and applications of option pricing. As they often suffer from an irregular convergence behavior, improving this is an important task. We build upon a new version of the Edgeworth expansion for lattice models to construct new and quickly converging...