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    Convergence rate of regime-switching trees 

    Leduc, Guillaume; Zeng, Xiangchen (Elseveir, 2016)
    Considering a general class of regime-switching geometric random walks and a broad class of piecewise twice differentiable payoff functions, we show that convergence of option prices occurs at a speed of order 𝒪 (𝑛-ᵝ), ...
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    Option convergence rate with geometric random walks approximations 

    Leduc, Guillaume (Taylor & Frances Online, 2016)
    We describe a broad setting under which, for European options, if the underlying asset form a geometric random walk then, the error with respect to the Black–Scholes model converges to zero at a speed of 1/𝑛 for continuous ...
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    Can High-Order Convergence of European Option Prices be Achieved with Common CRR-Type Binomial Trees? 

    Leduc, Guillaume (Springer, 2015)
    Considering European call options, we prove that CRR-type binomial trees systematically underprice the value of these options, when the spot price is not near the money. However, we show that, with a volatility premium to ...

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    AuthorLeduc, Guillaume (3)Zeng, Xiangchen (1)Subject
    Rate of convergence (3)
    Binomial tree (1)Black–Scholes (1)Discretization (1)European digital options (1)Option (1)Regime-switching Black–Scholes (1)Risk neutral random walk (1)... View MoreDate Issued2016 (2)2015 (1)Has File(s)Yes (3)

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