A European option general first-order error formula
We study the value of European security derivatives in the Black-Scholes model, when the underlying asset is approximated by random walks (). We obtain an explicit error formula, up to a term of order (⁻³/² ), which is valid for general approximating schemes and general payoff functions. We show how...
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| المؤلف الرئيسي: | |
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| التنسيق: | article |
| منشور في: |
2013
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| الموضوعات: | |
| الوصول للمادة أونلاين: | http://hdl.handle.net/11073/16668 |
| الوسوم: |
إضافة وسم
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| _version_ | 1864513443669737472 |
|---|---|
| author | Leduc, Guillaume |
| author_facet | Leduc, Guillaume |
| author_role | author |
| dc.creator.none.fl_str_mv | Leduc, Guillaume |
| dc.date.none.fl_str_mv | 2013 2020-06-02T09:54:17Z 2020-06-02T09:54:17Z |
| dc.format.none.fl_str_mv | application/pdf |
| dc.identifier.none.fl_str_mv | Leduc, Guillaume. "A European Option Binomial Scheme General First Order Error Formula." ANZIAM Journal 54, no. 4 (August, 2013): 248-272. 1446-8735 http://hdl.handle.net/11073/16668 10.1017/S1446181113000254 |
| dc.language.none.fl_str_mv | en_US |
| dc.publisher.none.fl_str_mv | Cambridge |
| dc.relation.none.fl_str_mv | https://doi.org/10.1017/S1446181113000254 |
| dc.subject.none.fl_str_mv | European options Approximation scheme Error formula Black-Scholes |
| dc.title.none.fl_str_mv | A European option general first-order error formula |
| dc.type.none.fl_str_mv | Peer-Reviewed Published version info:eu-repo/semantics/publishedVersion info:eu-repo/semantics/article |
| description | We study the value of European security derivatives in the Black-Scholes model, when the underlying asset is approximated by random walks (). We obtain an explicit error formula, up to a term of order (⁻³/² ), which is valid for general approximating schemes and general payoff functions. We show how this error formula can be used to find random walks (), for which option values converge at a speed of (⁻³/² ). |
| format | article |
| id | aus_8c5b06bf68e48e04e9f2bb530a0372f9 |
| identifier_str_mv | Leduc, Guillaume. "A European Option Binomial Scheme General First Order Error Formula." ANZIAM Journal 54, no. 4 (August, 2013): 248-272. 1446-8735 10.1017/S1446181113000254 |
| language_invalid_str_mv | en_US |
| network_acronym_str | aus |
| network_name_str | aus |
| oai_identifier_str | oai:repository.aus.edu:11073/16668 |
| publishDate | 2013 |
| publisher.none.fl_str_mv | Cambridge |
| repository.mail.fl_str_mv | |
| repository.name.fl_str_mv | |
| repository_id_str | |
| spelling | A European option general first-order error formulaLeduc, GuillaumeEuropean optionsApproximation schemeError formulaBlack-ScholesWe study the value of European security derivatives in the Black-Scholes model, when the underlying asset is approximated by random walks (). We obtain an explicit error formula, up to a term of order (⁻³/² ), which is valid for general approximating schemes and general payoff functions. We show how this error formula can be used to find random walks (), for which option values converge at a speed of (⁻³/² ).Cambridge2020-06-02T09:54:17Z2020-06-02T09:54:17Z2013Peer-ReviewedPublished versioninfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/articleapplication/pdfLeduc, Guillaume. "A European Option Binomial Scheme General First Order Error Formula." ANZIAM Journal 54, no. 4 (August, 2013): 248-272.1446-8735http://hdl.handle.net/11073/1666810.1017/S1446181113000254en_UShttps://doi.org/10.1017/S1446181113000254oai:repository.aus.edu:11073/166682024-08-22T12:02:09Z |
| spellingShingle | A European option general first-order error formula Leduc, Guillaume European options Approximation scheme Error formula Black-Scholes |
| status_str | publishedVersion |
| title | A European option general first-order error formula |
| title_full | A European option general first-order error formula |
| title_fullStr | A European option general first-order error formula |
| title_full_unstemmed | A European option general first-order error formula |
| title_short | A European option general first-order error formula |
| title_sort | A European option general first-order error formula |
| topic | European options Approximation scheme Error formula Black-Scholes |
| url | http://hdl.handle.net/11073/16668 |