The Convergence Rate of Option Prices in Trinomial Trees
We study the convergence of the binomial, trinomial, and more generally <i>m</i>-nomial tree schemes when evaluating certain European path-independent options in the Black–Scholes setting. To our knowledge, the results here are the first for trinomial trees. Our main result provides form...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
MDPI AG
2023-03-01
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| Series: | Risks |
| Subjects: | |
| Online Access: | https://www.mdpi.com/2227-9091/11/3/52 |