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The Accelerated Binomial Option Pricing Model.
- Source :
- Journal of Financial & Quantitative Analysis; Jun91, Vol. 26 Issue 2, p153-164, 12p
- Publication Year :
- 1991
-
Abstract
- 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 be viewed as an approximation to the Geske-Johnson model for the value of the American put. The new model is accurate and faster than the conventional binomial model. It is applicable to a wide range of option pricing problems. [ABSTRACT FROM AUTHOR]
Details
- Language :
- English
- ISSN :
- 00221090
- Volume :
- 26
- Issue :
- 2
- Database :
- Complementary Index
- Journal :
- Journal of Financial & Quantitative Analysis
- Publication Type :
- Academic Journal
- Accession number :
- 5722472
- Full Text :
- https://doi.org/10.2307/2331262