화학공학소재연구정보센터
Applied Mathematics and Optimization, Vol.82, No.2, 687-720, 2020
On the Binomial Approximation of the American Put
We consider the binomial approximation of the American put price in the Black-Scholes model (with continuous dividend yield). Our main result is that the error of approximation is O((ln n)(alpha)/n), where n is the number of time periods and the exponent alpha is a positive number, the value of which may differ according to the respective levels of the interest rate and the dividend yield.