<t>For plain vanilla calls the std.dev. of the P/L does indeed drecrease at 1/sqrt(#hedgeppoints).The convergence order depends critically on the smoothness of the pay-off funtion (so it'snot a "CLT-\sqrt"). Juding from the thread, this "well-known in the community".Proofs (of a hard-core probabilit...

Quick! Excellent. Thanks. /rolf

<t>Let me unmodestly refer a part of my own homepage. This isn't shamless promotion of my own work, but some references & thoughts on what I'd like to look at. Or even better: Have some student do & then slab my own name (or money, depending on the results) on.Using Google, I can find refern...

Dietmar Leisen has done some work on random time binomial models. If memory serves me, one of the papers covers both barriers and jumps. And there are actual numbers! He claims it to be fast and accurate & I believe him, although I never got around to implementing it myself.Cheers, Rolf