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Media type:
E-Article
Title:
Improving Convergence of Binomial Schemes and the Edgeworth Expansion
Contributor:
Bock, Alona;
Korn, Ralf
Published:
MDPI AG, 2016
Published in:
Risks, 4 (2016) 2, Seite 15
Language:
English
DOI:
10.3390/risks4020015
ISSN:
2227-9091
Origination:
Footnote:
Description:
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.