Error estimates for the binomial approximation of American put options
Lamberton, Damien
Ann. Appl. Probab., Tome 8 (1998) no. 1, p. 206-233 / Harvested from Project Euclid
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We establish some error estimates for the binomial approximation of American put prices in the Black-Scholes model. Namely, we prove that if P is the American put price and $P_n$ its n-step binomial approximation, there exist positive constants c and C such that $-c/n^{2/3} \leq P_n - P \leq C/n^{3/4}$. With an additional assumption on the interest rate and the volatility, a better upper bound is derived.
Publié le : 1998-02-14
Classification:  American put options,  optimal stopping,  binomial approximation,  60G40,  90A09 
@article{1027961041,
     author = {Lamberton, Damien},
     title = {Error estimates for the binomial approximation of American put
		 options},
     journal = {Ann. Appl. Probab.},
     volume = {8},
     number = {1},
     year = {1998},
     pages = { 206-233},
     language = {en},
     url = {http://dml.mathdoc.fr/item/1027961041}
}

Lamberton, Damien. Error estimates for the binomial approximation of American put
		 options. Ann. Appl. Probab., Tome 8 (1998) no. 1, pp.  206-233. http://gdmltest.u-ga.fr/item/1027961041/