The Convergence Rate of Option Prices in Trinomial Trees
We study the convergence of the binomial, trinomial, and more generally m-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 formulae for the coeffi...
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| Format: | article |
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2023
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| Online Access: | https://hdl.handle.net/11073/33267 |
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