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On the binomial approximation of the American put
Abstract : We consider the binomial approximation of the American put price in the Black-Scholes model (with continuous dividend yield). Our main result is that the error of approximation is $O((ln n) α /n)$ where n is the number of time periods and the exponent α is a positive number, the value of which may differ according to the respective levels of the interest rate and the dividend yield.
Cited literature [11 references]
https://hal-upec-upem.archives-ouvertes.fr/hal-01709298
Contributor : Damien Lamberton <>
Submitted on : Monday, December 10, 2018 - 2:49:41 PM
Last modification on : Thursday, March 19, 2020 - 12:26:02 PM
Long-term archiving on: : Monday, March 11, 2019 - 2:26:03 PM
Contributor : Damien Lamberton <>
Submitted on : Monday, December 10, 2018 - 2:49:41 PM
Last modification on : Thursday, March 19, 2020 - 12:26:02 PM
Long-term archiving on: : Monday, March 11, 2019 - 2:26:03 PM
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BinomialApproximation2018R.pdf
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