Convergence of the Binomial Tree Method for American Options in a Jump-Diffusion Model (Q4653939)
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scientific article; zbMATH DE number 2139953
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Convergence of the Binomial Tree Method for American Options in a Jump-Diffusion Model |
scientific article; zbMATH DE number 2139953 |
Statements
Convergence of the Binomial Tree Method for American Options in a Jump-Diffusion Model (English)
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1 March 2005
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binomial tree method
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explicit difference method
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American option
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jump-diffusion model
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integro-differential equation
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viscosity solution
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