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The Accelerated Binomial Option Pricing Model

Published online by Cambridge University Press:  06 April 2009

Richard Breen
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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.

Information

Type
Research Article
Information
Journal of Financial and Quantitative Analysis , Volume 26 , Issue 2 , June 1991 , pp. 153 - 164
Copyright
Copyright © School of Business Administration, University of Washington 1991

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