The Boyle–Romberg trinomial tree, a highly efficient method for double barrier option pricing
Oscillations in option price convergence have long been a problematic aspect of tree methods, inhibiting the use of repeated Richardson extrapolation that could otherwise greatly accelerate convergence, a feature integral to some of the most efficient modern methods. These oscillations are typically...
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| Format: | article |
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2024
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| Online Access: | https://hdl.handle.net/11073/25535 |
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