Munich Personal RePEc Archive

Arbitrarily Fast CRR Schemes

Leduc, Guillaume (2012): Arbitrarily Fast CRR Schemes.

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Abstract

We introduce a method for the approximation of a lognormal stock price process by a Cox, Ross and Rubinstein (CRR) type of binomial scheme, which allows to reach arbitrary speed of convergence of order O(n^{-(N/2)}), for any integer N>0.

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