On the rate of convergence of discrete-time contingent claims

Mathematical Finance

Volumn 10, Issue 1, 2000, Pages 53-75

  Heston, Steve ^a   Zhou, Guofu ^b,c  

^a Goldman Sachs Group   (United States)

^b WASHINGTON UNIVERSITY   (United States)

^c WASHINGTON UNIVERSITY IN ST LOUIS   (United States)

Author keywords

Binomial; Interest rate derivatives; Multinomial; Option price; Smoothness; Trinomial

Indexed keywords

EID: 0034383751     PISSN: 09601627     EISSN: None     Source Type: Journal    
DOI: 10.1111/1467-9965.00080     Document Type: Article

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