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The Accelerated Binomial Option Pricing Model
| Content Provider | Semantic Scholar |
|---|---|
| Author | Breen, Richard |
| Copyright 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. |
| Starting Page | 153 |
| Ending Page | 164 |
| Page Count | 12 |
| File Format | PDF HTM / HTML |
| DOI | 10.2307/2331262 |
| Volume Number | 26 |
| Alternate Webpage(s) | http://www.tara.tcd.ie/bitstream/handle/2262/84500/MEMO180.pdf?isAllowed=y&sequence=1 |
| Alternate Webpage(s) | https://doi.org/10.2307/2331262 |
| Language | English |
| Access Restriction | Open |
| Content Type | Text |
| Resource Type | Article |