On the analyticalumerical pricing of American put options against binomial tree prices

摘要

We compare the bias in binomial trees against that in certain analyticalumerical valuation techniques with which they disagree. We consider the CRR tree, the COS method and the Leisen-Reimer as well as the Prekopa-Szantai exponentially smoothed method. We conclude that the binomial trees are unbiased and that the exponentially smoothed method is biased.