Browsing Department of Mathematics and Statistics by Subject "Rate of convergence"

Now showing items 1-3 of 3

    • 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 ...

    • 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), ...

    • 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 ...