Artikel
Improving convergence of binomial schemes and the Edgeworth expansion
Binomial trees are very popular in both theory and applications of option pricing. As they often suffer from an irregular convergence behavior, improving this is an important task. We build upon a new version of the Edgeworth expansion for lattice models to construct new and quickly converging binomial schemes with a particular application to barrier options.
- Sprache
-
Englisch
- Erschienen in
-
Journal: Risks ; ISSN: 2227-9091 ; Volume: 4 ; Year: 2016 ; Issue: 2 ; Pages: 1-22 ; Basel: MDPI
- Klassifikation
-
Wirtschaft
- Thema
-
binomial model
Black-Scholes model
option pricing
accelerated convergence
weak convergence
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Bock, Alona
Korn, Ralf
- Ereignis
-
Veröffentlichung
- (wer)
-
MDPI
- (wo)
-
Basel
- (wann)
-
2016
- DOI
-
doi:10.3390/risks4020015
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:45 MEZ
Datenpartner
Dieses Objekt wird bereitgestellt von:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Artikel
Beteiligte
- Bock, Alona
- Korn, Ralf
- MDPI
Entstanden
- 2016
Ähnliche Objekte (12)
Edgeworth expansions for binomial trees
Edgeworth Expansions for Binomial Trees
The bootstrap and Edgeworth expansion
The bootstrap and Edgeworth expansion
On the expansion of a function a binomial.
Edgeworth, Maria
Convergence of binomial large investor models and general correlated random walks
Bildnis des Edgeworth
On rate of convergence of various iterative schemes
Generalized Binomial Trees
Edgeworth-Entwicklungen für lineare Rangstatistiken
Rearranging Edgeworth-Cornish-Fisher expansions
Edgeworth expansions for binomial trees
Edgeworth Expansions for Binomial Trees
The bootstrap and Edgeworth expansion
The bootstrap and Edgeworth expansion
On the expansion of a function a binomial.
Edgeworth, Maria
Convergence of binomial large investor models and general correlated random walks
Bildnis des Edgeworth
On rate of convergence of various iterative schemes
Generalized Binomial Trees
Edgeworth-Entwicklungen für lineare Rangstatistiken
Rearranging Edgeworth-Cornish-Fisher expansions
Edgeworth expansions for binomial trees
Edgeworth Expansions for Binomial Trees
The bootstrap and Edgeworth expansion
The bootstrap and Edgeworth expansion
On the expansion of a function a binomial.
Edgeworth, Maria
Convergence of binomial large investor models and general correlated random walks
Bildnis des Edgeworth
On rate of convergence of various iterative schemes
Generalized Binomial Trees
Edgeworth-Entwicklungen für lineare Rangstatistiken