A Binomial Model with Edgeworth Expansion on Particular Circumstances
نویسندگان
چکیده
منابع مشابه
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.
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ژورنال
عنوان ژورنال: European Accounting and Management Review
سال: 2018
ISSN: 2385-3921
DOI: 10.26595/eamr.2014.5.1.4