Browsing Department of Mathematics and Statistics by Subject "Black–Scholes"

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    • Joshi’s Split Tree for Option Pricing 

      Leduc, Guillaume; Hot, Merima Nurkanovic (MDPI, 2020)
      In a thorough study of binomial trees, Joshi introduced the split tree as a two-phase binomial tree designed to minimize oscillations, and demonstrated empirically its outstanding performance when applied to pricing American ...

    • 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 ...