Leduc, Guillaume2020-06-022020-06-022015Leduc, Guillaume. "Can high order convergence of European option prices be achieved with common CRR-type binomial trees?" Bulletin of the Malaysian Mathematical Sciences Society 39, no. 4 (2016): 1329–1342. doi: 10.1007/s40840-015-0221-22180-4206http://hdl.handle.net/11073/16667Considering European call options, we prove that CRR-type binomial trees systematically underprice the value of these options, when the spot price is not near the money. However, we show that, with a volatility premium to compensate this mispricing, any arbitrarily high order of convergence can be achieved, within the common CRR-type binomial tree framework.en-USBinomial treeOptionRate of convergencePeer-Reviewed10.1007/s40840-015-0221-2