The Accelerated Binomial Option Pricing Model

The Accelerated Binonial Option Pricing Model This paper describes the application of a convergence acceleration technique to the binomial option priring m(~del~ in the cQntext of the valuati¢)n 6f the Ameri~:an put optic~n c)n non-dividend paying stock.The resulting model, termed the accelerated binonial c)pti()n pric:ing model, can also be viewed as an approximatio.nto the Geske-Johnson model for the value of the Ameri(?an put.The new model is a~:Jc:urate and faster than the c:~.]nventional binomial model.It is alscl likely to prove muc'.h more c:omputationally convenient than the Geske-Johnson model.It is applicable to a wi~Je range of opticln pricing problems.