Binomial approximation in financial models: computational simplicity and convergence

Anlong Li

No 9201, Working Papers (Old Series) from Federal Reserve Bank of Cleveland

Abstract: An exploration of the potential of transformation and other schemes in approximating diffusions (including those with boundaries) commonly seen in financial models. Convergence results are established for valuing both European and American contingent claims.

Keywords: Statistics (search for similar items in EconPapers)
Date: 1992
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