Asymptotics of the price oscillations of a European call option in a tree model

By F. Diener, Marc Diener. 2004

81 citations recorded by the source corpus.

Subfields: Finance, Mathematical Physics

View Paper: https://www.semanticscholar.org/paper/16775b7e0dda1d278a77a2517f0681b64c892ea6

Citations in the corpus

• Error analysis of finite difference and Markov chain approximations for option pricing (2018, unknown): “…tree method and its variants for the Black– Scholes model in the mathematical finance literature (see Broadie & Detemple, 1996; Chang & Palmer, 2007; Diener & Diener, 2004; Heston & Zhou, 2000; Joshi, 2010; Leisen & Reimer, 1996; Walsh, 2003 for European calls and puts; Lin & Palmer, 2013, for…”