On the Relation Between Binomial and Trinomial Option Pricing Models |
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Analysis 23 Bibliography Boyle binomial and trinomial binomial is given binomial tree Black-Scholes values Brennan Brennan/Schwartz chance by skipping Cidd Ciud Ciuu comparing the trinomial comparisons between binomial convergence comparisons different parameterization typically European near-the-money standard exp(o²h explicit finite difference Financial and Quantitative Financial Economics finite difference method Framework for Option Jarrow Journal of Derivatives Journal of Financial Jump Processes Arising Kamrad Kamrad/Ritchken trinomial model Management Science 37 Matthew Spiegel method to Black-Scholes Methods and Jump Models for Options Multinomial Approximating Models near-the-money standard options Option Pricing Irwin Option Pricing Models option value parameterization typically improves Preliminary simulation comparing Pricing Barrier Options Pricing Irwin 1983 Pricing of Contingent Program in Finance Quantitative Analysis 13 question more interesting rate of convergence Relation Between Binomial Research Program Richard K Risk Management Ritchken Ross September 1978 task I leave trinomial method Trinomial Option Pricing University of California values for European