Error estimates for the binomial approximation of American put options
Lamberton, Damien
HAL, hal-00694268 / Harvested from HAL
Text on HAL
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) less than or equal to P-n-P less than or equal to C/n(3/4). With an additional assumption on the interest rate and the volatility, a better upper bound is derived.
Publié le : 1998-07-05
Classification:  [MATH.MATH-MP]Mathematics [math]/Mathematical Physics [math-ph] 
@article{hal-00694268,
     author = {Lamberton, Damien},
     title = {Error estimates for the binomial approximation of American put options},
     journal = {HAL},
     volume = {1998},
     number = {0},
     year = {1998},
     language = {en},
     url = {http://dml.mathdoc.fr/item/hal-00694268}
}

Lamberton, Damien. Error estimates for the binomial approximation of American put options. HAL, Tome 1998 (1998) no. 0, . http://gdmltest.u-ga.fr/item/hal-00694268/