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 ...
The paper studies the binomial tree method for American options in a jump-diffusion model. We employ the theory of viscosity solution to show uniform convergence of the binomial tree method for ...
An option pricing model in which the underlying asset can assume one of only two possible, discrete values in the next time period for each value that it can take on in the preceding time period.
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