Improving Convergence of Binomial Schemes and the Edgeworth Expansion
نویسندگان
چکیده
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.
منابع مشابه
Improving interval estimation of binomial proportions
In this paper, we propose one new confidence interval for the binomial proportion; our interval is based on the Edgeworth expansion of a logit transformation of the sample proportion. We provide theoretical justification for the proposed interval and also compare the finite-sample performance of the proposed interval with the three best existing intervals-the Wilson interval, the Agresti-Coull ...
متن کاملRate of Convergence and Edgeworth-type Expansion in the Entropic Central Limit Theorem1 by Sergey
متن کامل
Edgeworth Expansion on N{spheres and Jacobi Hypergroups
Suitable normalization of time{homogeneous rotation{invariant random walks on unit spheres S d R d+1 for d > 2 leads to a central limit theorem with a Gaussian limit measure. This paper is devoted to an associated Edgeworth expansion with respect to the total variation norm. This strong type of convergence is diierent from the classical case. The proof is performed in the more general setting o...
متن کاملOn new faster fixed point iterative schemes for contraction operators and comparison of their rate of convergence in convex metric spaces
In this paper we present new iterative algorithms in convex metric spaces. We show that these iterative schemes are convergent to the fixed point of a single-valued contraction operator. Then we make the comparison of their rate of convergence. Additionally, numerical examples for these iteration processes are given.
متن کاملOn the Pixel Expansion of Hypergraph Access Structures in Visual Cryptography Schemes
In a visual cryptography scheme, a secret image is encoded into n shares, in the form of transparencies. The shares are then distributed to n participants. Qualified subsets of participants can recover the secret image by superimposing their transparencies, but non-qualified subsets of participants have no information about the secret image. Pixel expansion, which represents the number of subpi...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
عنوان ژورنال:
دوره شماره
صفحات -
تاریخ انتشار 2016