| dc.contributor.author | Leduc, Guillaume | |
| dc.date.accessioned | 2020-06-02T10:39:24Z | |
| dc.date.available | 2020-06-02T10:39:24Z | |
| dc.date.issued | 2012 | |
| dc.identifier.citation | Leduc, Guillaume. "Convergence rate of the binomial tree scheme for continuously paying options." Annales des sciences mathématiques du Québec 36, no. 1 (June 2012): 155-168. | en_US |
| dc.identifier.issn | 0707-9109 | |
| dc.identifier.uri | http://hdl.handle.net/11073/16669 | |
| dc.description.abstract | Continuously Paying Options (CPOs) form a very natural class of derivatives for hedging risks coming from adverse movements of a continuously traded asset. We study the rate of convergence of CPOs evaluated under the binomial tree scheme when the payout function 𝝋 is piecewise C(2) subject to some boundedness conditions. We show that if 𝝋 is continuous, the rate of convergence is 𝑛¯¹ while it is n¯¹/² if 𝝋 is discontinuous. | en_US |
| dc.language.iso | en_US | en_US |
| dc.publisher | Université du Québec à Montréal | en_US |
| dc.relation.uri | http://www.labmath.uqam.ca/~annales/volumes/36-1/PDF/155-168.pdf | en_US |
| dc.title | Convergence rate of the binomial tree scheme for continuously paying options | en_US |
| dc.type | Peer-Reviewed | en_US |
| dc.type | Article | en_US |
| dc.type | Published version | en_US |
