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The Accelerated Binomial Option Pricing Model

Richard Breen
The Journal of Financial and Quantitative Analysis
Vol. 26, No. 2 (Jun., 1991), pp. 153-164
DOI: 10.2307/2331262
Stable URL: http://www.jstor.org/stable/2331262
Page Count: 12
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Since scans are not currently available to screen readers, please contact JSTOR User Support for access. We'll provide a PDF copy for your screen reader.
The Accelerated Binomial Option Pricing Model
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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.

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