Convergence rate of the binomial tree scheme for continuously paying options
Continuously Paying Options (CPOs) form a very natural class of derivatives for hedging risks coming from adverse movements of a continuously traded asset. We study the rate of convergence of CPOs evaluated under the binomial tree scheme when the payout function is piecewise C(2) subject to some bou...
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2012
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| Online Access: | http://hdl.handle.net/11073/16669 |
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| author | Leduc, Guillaume |
| author_facet | Leduc, Guillaume |
| author_role | author |
| dc.creator.none.fl_str_mv | Leduc, Guillaume |
| dc.date.none.fl_str_mv | 2012 2020-06-02T10:39:24Z 2020-06-02T10:39:24Z |
| dc.format.none.fl_str_mv | application/pdf |
| dc.identifier.none.fl_str_mv | Leduc, Guillaume. "Convergence rate of the binomial tree scheme for continuously paying options." Annales des sciences mathématiques du Québec 36, no. 1 (June 2012): 155-168. 0707-9109 http://hdl.handle.net/11073/16669 |
| dc.language.none.fl_str_mv | en_US |
| dc.publisher.none.fl_str_mv | Université du Québec à Montréal |
| dc.relation.none.fl_str_mv | http://www.labmath.uqam.ca/~annales/volumes/36-1/PDF/155-168.pdf |
| dc.title.none.fl_str_mv | Convergence rate of the binomial tree scheme for continuously paying options |
| dc.type.none.fl_str_mv | Peer-Reviewed Published version info:eu-repo/semantics/publishedVersion info:eu-repo/semantics/article |
| description | Continuously Paying Options (CPOs) form a very natural class of derivatives for hedging risks coming from adverse movements of a continuously traded asset. We study the rate of convergence of CPOs evaluated under the binomial tree scheme when the payout function is piecewise C(2) subject to some boundedness conditions. We show that if is continuous, the rate of convergence is ¯¹ while it is n¯¹/² if is discontinuous. |
| format | article |
| id | aus_af8993cfb577490f67d292598e4fb882 |
| identifier_str_mv | Leduc, Guillaume. "Convergence rate of the binomial tree scheme for continuously paying options." Annales des sciences mathématiques du Québec 36, no. 1 (June 2012): 155-168. 0707-9109 |
| language_invalid_str_mv | en_US |
| network_acronym_str | aus |
| network_name_str | aus |
| oai_identifier_str | oai:repository.aus.edu:11073/16669 |
| publishDate | 2012 |
| publisher.none.fl_str_mv | Université du Québec à Montréal |
| repository.mail.fl_str_mv | |
| repository.name.fl_str_mv | |
| repository_id_str | |
| spelling | Convergence rate of the binomial tree scheme for continuously paying optionsLeduc, GuillaumeContinuously Paying Options (CPOs) form a very natural class of derivatives for hedging risks coming from adverse movements of a continuously traded asset. We study the rate of convergence of CPOs evaluated under the binomial tree scheme when the payout function is piecewise C(2) subject to some boundedness conditions. We show that if is continuous, the rate of convergence is ¯¹ while it is n¯¹/² if is discontinuous.Université du Québec à Montréal2020-06-02T10:39:24Z2020-06-02T10:39:24Z2012Peer-ReviewedPublished versioninfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/articleapplication/pdfLeduc, Guillaume. "Convergence rate of the binomial tree scheme for continuously paying options." Annales des sciences mathématiques du Québec 36, no. 1 (June 2012): 155-168.0707-9109http://hdl.handle.net/11073/16669en_UShttp://www.labmath.uqam.ca/~annales/volumes/36-1/PDF/155-168.pdfoai:repository.aus.edu:11073/166692024-08-22T12:02:14Z |
| spellingShingle | Convergence rate of the binomial tree scheme for continuously paying options Leduc, Guillaume |
| status_str | publishedVersion |
| title | Convergence rate of the binomial tree scheme for continuously paying options |
| title_full | Convergence rate of the binomial tree scheme for continuously paying options |
| title_fullStr | Convergence rate of the binomial tree scheme for continuously paying options |
| title_full_unstemmed | Convergence rate of the binomial tree scheme for continuously paying options |
| title_short | Convergence rate of the binomial tree scheme for continuously paying options |
| title_sort | Convergence rate of the binomial tree scheme for continuously paying options |
| url | http://hdl.handle.net/11073/16669 |