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

Now showing items 1-2 of 2

    • A European option general first-order error formula 

      Leduc, Guillaume (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 ), ...

    • Path Independence of Exotic Options and Convergence of Binomial Approximations 

      Leduc, Guillaume; Palmer, Kenneth J. (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 ...