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Publication:3609090
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zbMATH Open1174.91428MaRDI QIDQ3609090

Jin Liang

Publication date: 6 March 2009



Title: zbMATH Open Web Interface contents unavailable due to conflicting licenses.


zbMATH Keywords

error estimateAmerican optionsconvergence ratejump diffusionbinomial tree method


Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Stopping times; optimal stopping problems; gambling theory (60G40) Derivative securities (option pricing, hedging, etc.) (91G20)



Related Items (2)

Optimal Convergence Rate of the Binomial Tree Scheme for American Options and Their Free Boundaries ⋮ Convergence of the binomial tree method for Asian options in jump-diffusion models






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