Optimal convergence rate of the explicit finite difference scheme for American option valuation

DOI10.1016/j.cam.2008.12.018zbMath1175.91180OpenAlexW2068573648WikidataQ116009526 ScholiaQ116009526MaRDI QIDQ2390004

Jin Liang, Bei Hu, Li-Shang Jiang

Publication date: 20 July 2009

Published in: Journal of Computational and Applied Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.cam.2008.12.018

zbMATH Keywords

American put optionexplicit finite difference schemebinomial tree method

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Microeconomic theory (price theory and economic markets) (91B24) Derivative securities (option pricing, hedging, etc.) (91G20) Initial value problems for second-order parabolic equations (35K15)

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