Optimal Convergence Rate of the Binomial Tree Scheme for American Options with Jump Diffusion and Their Free Boundaries

DOI10.1137/090746239zbMath1188.91234OpenAlexW2080286280WikidataQ116009517 ScholiaQ116009517MaRDI QIDQ3402359

Bei Hu, Jin Liang, Li-Shang Jiang

Publication date: 3 February 2010

Published in: SIAM Journal on Financial Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1137/090746239

zbMATH Keywords

American optionsconvergence ratefree boundaryexplicit difference schemejump diffusionbinomial tree method

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) Financial applications of other theories (91G80) Free boundary problems for PDEs (35R35)

Related Items (6)

Convergence rate of free boundary of numerical scheme for American option ⋮ Convergence Rate of an Explicit Finite Difference Scheme for a Credit Rating Migration Problem ⋮ An Error Analysis of a Finite Element Method with IMEX-Time Semidiscretizations for Some Partial Integro-differential Inequalities Arising in the Pricing of American Options ⋮ On the binomial approximation of the American put ⋮ A finite difference scheme for variational inequalities arising in stochastic control problems with several singular control variables ⋮ Stochastic approximation methods for American type options

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