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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| Format: | article |
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2012
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| Online Access: | http://hdl.handle.net/11073/16669 |
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