On the rate of convergence of the binomial tree scheme for American options

DOI10.1007/s00211-007-0091-0zbMath1210.91147OpenAlexW2052586330WikidataQ116009541 ScholiaQ116009541MaRDI QIDQ2454708

Jin Liang, Baojun Bian, Bei Hu, Li-Shang Jiang

Publication date: 16 October 2007

Published in: Numerische Mathematik (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s00211-007-0091-0

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Finite difference methods for initial value and initial-boundary value problems involving PDEs (65M06) Stability and convergence of numerical methods for initial value and initial-boundary value problems involving PDEs (65M12) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (12)

Convergence rate of free boundary of numerical scheme for American option ⋮ Optimal convergence rate of the explicit finite difference scheme for American option valuation ⋮ Convergence Rate of an Explicit Finite Difference Scheme for a Credit Rating Migration Problem ⋮ Infinite horizon impulse control problem with continuous costs, numerical solutions ⋮ The randomized American option as a classical solution to the penalized problem ⋮ Numerical algorithms and simulations for reflected backward stochastic differential equations with two continuous barriers ⋮ A multi-dimensional local average lattice method for multi-asset models ⋮ Can high-order convergence of European option prices be achieved with common CRR-type binomial trees? ⋮ Stochastic approximation methods for American type options ⋮ Global Closed-Form Approximation of Free Boundary for Optimal Investment Stopping Problems ⋮ A EUROPEAN OPTION GENERAL FIRST-ORDER ERROR FORMULA ⋮ Analytic solutions for American partial barrier options by exponential barriers

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