The Accelerated Binomial Option Pricing Model

Richard Breen

Journal of Financial and Quantitative Analysis, 1991, vol. 26, issue 2, 153-164

Abstract: This paper describes the application of a convergence acceleration technique to the binomial option pricing model. The resulting model, termed the accelerated binomial option pricing model, also can be viewed as an approximation to the Geske-Johnson model for the value of the American put. The new model is accurate and faster than the conventional binomial model. It is applicable to a wide range of option pricing problems.

Date: 1991
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