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A European option general first-order error formula
(Cambridge, 2013)
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 ), ...
Convergence rate of the binomial tree scheme for continuously paying options
(Université du Québec à Montréal, 2012)
Continuously Paying Options (CPOs) form a very natural class of derivatives for hedging risks coming from adverse movements of a continuously traded asset. We study the rate of convergence of CPOs evaluated under the ...
Convergence rate of regime-switching trees
(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), ...
Option convergence rate with geometric random walks approximations
(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 ...