Arbitrarily Fast CRR Schemes

Guillaume Leduc

MPRA Paper from University Library of Munich, Germany

Abstract: We introduce a method for the approximation of a lognormal stock price process by a Cox, Ross and Rubinstein (CRR) type of binomial scheme, which allows to reach arbitrary speed of convergence of order O(n^{-(N/2)}), for any integer N>0.

Keywords: European options; binomial scheme error; Black-Scholes (search for similar items in EconPapers)
JEL-codes: G13 (search for similar items in EconPapers)
Date: 2012-09-26, Revised 2012-10-20
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Citations: View citations in EconPapers (1)

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