Can High-Order Convergence of European Option Prices be Achieved with Common CRR-Type Binomial Trees?
Considering European call options, we prove that CRR-type binomial trees systematically underprice the value of these options, when the spot price is not near the money. However, we show that, with a volatility premium to compensate this mispricing, any arbitrarily high order of convergence can be a...
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| المؤلف الرئيسي: | |
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| التنسيق: | article |
| منشور في: |
2015
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| الموضوعات: | |
| الوصول للمادة أونلاين: | http://hdl.handle.net/11073/16667 |
| الوسوم: |
إضافة وسم
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| _version_ | 1864513441576779776 |
|---|---|
| author | Leduc, Guillaume |
| author_facet | Leduc, Guillaume |
| author_role | author |
| dc.creator.none.fl_str_mv | Leduc, Guillaume |
| dc.date.none.fl_str_mv | 2015 2020-06-02T09:37:06Z 2020-06-02T09:37:06Z |
| dc.format.none.fl_str_mv | application/pdf |
| dc.identifier.none.fl_str_mv | Leduc, Guillaume. "Can high order convergence of European option prices be achieved with common CRR-type binomial trees?" Bulletin of the Malaysian Mathematical Sciences Society 39, no. 4 (2016): 1329–1342. doi: 10.1007/s40840-015-0221-2 2180-4206 http://hdl.handle.net/11073/16667 10.1007/s40840-015-0221-2 |
| dc.language.none.fl_str_mv | en_US |
| dc.publisher.none.fl_str_mv | Springer |
| dc.relation.none.fl_str_mv | https://doi.org/10.1007/s40840-015-0221-2 |
| dc.subject.none.fl_str_mv | Binomial tree Option Rate of convergence |
| dc.title.none.fl_str_mv | Can High-Order Convergence of European Option Prices be Achieved with Common CRR-Type Binomial Trees? |
| dc.type.none.fl_str_mv | Peer-Reviewed Published version info:eu-repo/semantics/publishedVersion info:eu-repo/semantics/article |
| description | Considering European call options, we prove that CRR-type binomial trees systematically underprice the value of these options, when the spot price is not near the money. However, we show that, with a volatility premium to compensate this mispricing, any arbitrarily high order of convergence can be achieved, within the common CRR-type binomial tree framework. |
| format | article |
| id | aus_69c3884a0102ae1b30cac9ce6f8ba78e |
| identifier_str_mv | Leduc, Guillaume. "Can high order convergence of European option prices be achieved with common CRR-type binomial trees?" Bulletin of the Malaysian Mathematical Sciences Society 39, no. 4 (2016): 1329–1342. doi: 10.1007/s40840-015-0221-2 2180-4206 10.1007/s40840-015-0221-2 |
| language_invalid_str_mv | en_US |
| network_acronym_str | aus |
| network_name_str | aus |
| oai_identifier_str | oai:repository.aus.edu:11073/16667 |
| publishDate | 2015 |
| publisher.none.fl_str_mv | Springer |
| repository.mail.fl_str_mv | |
| repository.name.fl_str_mv | |
| repository_id_str | |
| spelling | Can High-Order Convergence of European Option Prices be Achieved with Common CRR-Type Binomial Trees?Leduc, GuillaumeBinomial treeOptionRate of convergenceConsidering European call options, we prove that CRR-type binomial trees systematically underprice the value of these options, when the spot price is not near the money. However, we show that, with a volatility premium to compensate this mispricing, any arbitrarily high order of convergence can be achieved, within the common CRR-type binomial tree framework.Springer2020-06-02T09:37:06Z2020-06-02T09:37:06Z2015Peer-ReviewedPublished versioninfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/articleapplication/pdfLeduc, Guillaume. "Can high order convergence of European option prices be achieved with common CRR-type binomial trees?" Bulletin of the Malaysian Mathematical Sciences Society 39, no. 4 (2016): 1329–1342. doi: 10.1007/s40840-015-0221-22180-4206http://hdl.handle.net/11073/1666710.1007/s40840-015-0221-2en_UShttps://doi.org/10.1007/s40840-015-0221-2oai:repository.aus.edu:11073/166672024-08-22T12:01:49Z |
| spellingShingle | Can High-Order Convergence of European Option Prices be Achieved with Common CRR-Type Binomial Trees? Leduc, Guillaume Binomial tree Option Rate of convergence |
| status_str | publishedVersion |
| title | Can High-Order Convergence of European Option Prices be Achieved with Common CRR-Type Binomial Trees? |
| title_full | Can High-Order Convergence of European Option Prices be Achieved with Common CRR-Type Binomial Trees? |
| title_fullStr | Can High-Order Convergence of European Option Prices be Achieved with Common CRR-Type Binomial Trees? |
| title_full_unstemmed | Can High-Order Convergence of European Option Prices be Achieved with Common CRR-Type Binomial Trees? |
| title_short | Can High-Order Convergence of European Option Prices be Achieved with Common CRR-Type Binomial Trees? |
| title_sort | Can High-Order Convergence of European Option Prices be Achieved with Common CRR-Type Binomial Trees? |
| topic | Binomial tree Option Rate of convergence |
| url | http://hdl.handle.net/11073/16667 |