Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/167885
Authors: 
Bock, Alona
Korn, Ralf
Year of Publication: 
2016
Citation: 
[Journal:] Risks [ISSN:] 2227-9091 [Volume:] 4 [Year:] 2016 [Issue:] 2 [Pages:] 1-22
Abstract: 
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.
Subjects: 
binomial model
Black-Scholes model
option pricing
accelerated convergence
weak convergence
Persistent Identifier of the first edition: 
Creative Commons License: 
http://creativecommons.org/licenses/by/4.0/
Document Type: 
Article
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