A Modified Binomial Tree Method for Currency Lookback Options

Research output: Journal article publicationJournal articleAcademic researchpeer-review

7 Citations (Scopus)


The binomial tree method is the most popular numerical approach to pricing options. However, for currency lookback options, this method is not consistent with the corresponding continuous models, which leads to slow speed of convergence. On the basis of the PDE approach, we develop a consistent numerical scheme called the modified binomial tree method. It possesses one order of accuracy and its efficiency is demonstrated by numerical experiments. The convergence proofs are also produced in terms of numerical analysis and the notion of viscosity solution.

Original languageEnglish
Pages (from-to)445-454
Number of pages10
JournalActa Mathematica Sinica, English Series
Issue number3
Publication statusPublished - Jul 2000
Externally publishedYes


  • Convergence
  • Currency lookback options
  • Modified binomial tree method

ASJC Scopus subject areas

  • General Mathematics
  • Applied Mathematics


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