Pricing the American put option: A detailed convergence analysis for binomial models

Journal of Economic Dynamics and Control

Volumn 22, Issue 8-9, 1998, Pages 1419-1444

  Leisen, Dietmar P J ^a,b  

^a UNIVERSITY OF BONN   (Germany)

^b CREST   (France)

Author keywords

Binomial model; Control Variate technique; Extrapolation; G13; Order of convergence; Smoothing

Indexed keywords

EID: 0009020281     PISSN: 01651889     EISSN: None     Source Type: Journal    
DOI: 10.1016/s0165-1889(98)00019-0     Document Type: Article

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