On the binomial approximation of the American put

Autor:	Lamberton, Damien
Rok vydání:	2018
Předmět:	Quantitative Finance - Mathematical Finance Mathematics - Probability Quantitative Finance - Pricing of Securities
Druh dokumentu:	Working Paper
Popis:	We consider the binomial approximation of the American put price in the Black-Scholes model (with continuous dividend yield). Our main result is that the error of approximation is $O((ln n) $\alpha$ /n)$ where n is the number of time periods and the exponent $\alpha$ is a positive number, the value of which may differ according to the respective levels of the interest rate and the dividend yield. Comment: Applied Mathematics and Optimization, Springer Verlag (Germany), In press
Databáze:	arXiv
Externí odkaz:	http://arxiv.org/abs/1802.05614 Zobrazit plný text záznamu View this record from Arxiv