ConvergenceTable

Price versus step count, with a Richardson extrapolation of the sequence — the pedagogical artifact for "the tree converges to the closed form". For a Cox-Ross-Rubinstein European option the error is O(1/n) with an even/odd oscillation, so averaging n and n+1 (a one-step Richardson) removes the leading term and leaves O(1/n^2).

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Record components

steps: int[]
prices: double[]
richardsonExtrapolated: double

Methods

static ConvergenceTable of(IntToDoubleFunction priceAtSteps, int[] steps)

static ConvergenceTable crrVanilla(double spot, double rate, double dividend, double vol, double maturity, OptionType type, double strike, ExerciseSchedule schedule, int[] steps)

Convenience for a vanilla option on a CRR tree.