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The Accelerated Binomial Option Pricing Model
The Journal of Financial and Quantitative Analysis
Vol. 26, No. 2 (Jun., 1991), pp. 153-164
Published by: Cambridge University Press on behalf of the University of Washington School of Business Administration
Stable URL: http://www.jstor.org/stable/2331262
Page Count: 12
You can always find the topics here!Topics: Binomials, Dividends, Put options, Pricing, Stock prices, Mathematical extrapolation, Quantitative analysis, Approximation, Modeling, Cash
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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.
The Journal of Financial and Quantitative Analysis © 1991 University of Washington School of Business Administration