Optimal Convergence Rate of the Binomial Tree Scheme for American Options and Their Free Boundaries
DOI10.1142/9789814578097_0011zbMath1299.91169OpenAlexW2485763079MaRDI QIDQ2928491
Publication date: 7 November 2014
Published in: Frontiers in Differential Geometry, Partial Differential Equations and Mathematical Physics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1142/9789814578097_0011
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) Numerical methods for variational inequalities and related problems (65K15)
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