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A European option general first-order error formula
We study the value of European security derivatives in the Black-Scholes model, when the underlying asset 𝛏 is approximated by random walks 𝛏(𝑛). We obtain an explicit error formula, up to a term of order 𝒪(𝑛⁻³/² ), ...
Path Independence of Exotic Options and Convergence of Binomial Approximations
(Infopro Digital Risk (IP), 2019)
The analysis of the convergence of tree methods for pricing barrier and lookback options has been the subject of numerous publications aiming at describing, quantifying, and improving the slow and oscillatory convergence ...