| dc.contributor.author | Leduc, Guillaume | |
| dc.date.accessioned | 2020-06-02T09:37:06Z | |
| dc.date.available | 2020-06-02T09:37:06Z | |
| dc.date.issued | 2015 | |
| dc.identifier.citation | Leduc, Guillaume. "Can high order convergence of European option prices be achieved with common CRR-type binomial trees?" Bulletin of the Malaysian Mathematical Sciences Society 39, no. 4 (2016): 1329–1342. doi: 10.1007/s40840-015-0221-2 | en_US |
| dc.identifier.issn | 2180-4206 | |
| dc.identifier.uri | http://hdl.handle.net/11073/16667 | |
| dc.description.abstract | 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 compensate this mispricing, any arbitrarily high order of convergence can be achieved, within the common CRR-type binomial tree framework. | en_US |
| dc.language.iso | en_US | en_US |
| dc.publisher | Springer | en_US |
| dc.relation.uri | https://doi.org/10.1007/s40840-015-0221-2 | en_US |
| dc.subject | Binomial tree | en_US |
| dc.subject | Option | en_US |
| dc.subject | Rate of convergence | en_US |
| dc.title | Can High-Order Convergence of European Option Prices be Achieved with Common CRR-Type Binomial Trees? | en_US |
| dc.type | Peer-Reviewed | en_US |
| dc.type | Article | en_US |
| dc.type | Published version | en_US |
| dc.identifier.doi | 10.1007/s40840-015-0221-2 | |
