On the Rate of Convergence of Discrete‐Time Contingent Claims

By S. Heston, Guofu Zhou. 2000

169 citations recorded by the source corpus.

Subfields: Finance

View Paper: https://www.semanticscholar.org/paper/58d43a46611b438069f2bf4f2973976018d3ce52

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In Finance

1. Peter A. Forsyth
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3. Abdul Khaliq
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Citations in the corpus

• Quadratic Convergence for Valuing American Options Using a Penalty Method (2001, methodology): “We used two versions of the problem in [13], one with an expiry time of T = 1 and the other with T = 5.”
• Asymptotics of the price oscillations of a European call option in a tree model (2004, unknown): “…be used as such here for a call option payoff function that is only piecewise linear; but in their published version Leisen and Reimer did not provide the complete proof on how to overcome this difficulty.1 A convergence of order 1n when f is smooth is also underlined by Heston and Zhou (2000).”
• Adaptive θ-methods for pricing American options (2008, result): “13) describing the time-step constraint is in agreement with findings in the literature for avoiding spurious oscillations in the Crank–Nicolson method (see, for example, [9,11,17,24,26]).”
• Error analysis of finite difference and Markov chain approximations for option pricing (2018, unknown): “…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 barrier options; and Jiang…”
• QUADRATIC CONVERGENCE OF A PENALTY METHOD FOR VALUING AMERICAN OPTIONS (2000, methodology): “We used two versions of the problem in [10], one with an expiry time of T = 1 and the other with T = 5.”
• Convergence of numerical methods for valuing path-dependent options using interpolation (2002, methodology): “This necessitates some form of interpolation (Hull and White (1993); Barraquand and Pudet (1996)).”