Show simple item record

dc.contributor.authorLeduc, Guillaume
dc.date.accessioned2020-06-02T09:54:17Z
dc.date.available2020-06-02T09:54:17Z
dc.date.issued2013
dc.identifier.citationLeduc, Guillaume. "A European Option Binomial Scheme General First Order Error Formula." ANZIAM Journal 54, no. 4 (August, 2013): 248-272.en_US
dc.identifier.issn1446-8735
dc.identifier.urihttp://hdl.handle.net/11073/16668
dc.description.abstractWe 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 ), which is valid for general approximating schemes and general payoff functions. We show how this error formula can be used to find random walks 𝛏(𝑛), for which option values converge at a speed of 𝒪(𝑛⁻³/² ).en_US
dc.language.isoen_USen_US
dc.publisherCambridgeen_US
dc.relation.urihttps://doi.org/10.1017/S1446181113000254en_US
dc.subjectEuropean optionsen_US
dc.subjectApproximation schemeen_US
dc.subjectError formulaen_US
dc.subjectBlack-Scholesen_US
dc.titleA European option general first-order error formulaen_US
dc.typePeer-Revieweden_US
dc.typeArticleen_US
dc.typePublished versionen_US
dc.identifier.doi10.1017/S1446181113000254


Files in this item

Thumbnail

This item appears in the following Collection(s)

Show simple item record