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

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

Jin Liang2007

Article2007

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

Jin Liang · Bei Hu · Lishang Jiang · Baojun Bian

20 citations·0/0 files stored·Numerische Mathematik

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Stochastic processes and financial applications Advanced Numerical Methods in Computational Mathematics Differential Equations and Numerical Methods

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References

1973The Pricing of Options and Corporate Liabilities 1979Option pricing: A simplified approach 1995The Mathematics of Financial Derivatives 2005Mathematical Modeling and Methods of Option Pricing 1994CONVERGENCE OF AMERICAN OPTION VALUES FROM DISCRETE‐ TO CONTINUOUS‐TIME FINANCIAL MODELS1 2004Convergence of Binomial Tree Methods for European/American Path-Dependent Options 2003ON THE RATE OF CONVERGENCE OF APPROXIMATION SCHEMES FOR BELLMAN EQUATIONS ASSOCIATED WITH OPTIMAL STOPPING TIME PROBLEMS 2002Brownian Optimal Stopping and Random Walks

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2010Optimal Convergence Rate of the Binomial Tree Scheme for American Options with Jump Diffusion and Their Free Boundaries

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2009Optimal convergence rate of the explicit finite difference scheme for American option valuationarticle · 8 shared references 2010Optimal Convergence Rate of the Binomial Tree Scheme for American Options with Jump Diffusion and Their Free Boundariesarticle · 6 shared references 2006Error estimates for binomial approximations of game optionsarticle · 4 shared references 1996American Option Valuation: New Bounds, Approximations, and a Comparison of Existing Methodsarticle · 3 shared references 1993Jump Diffusion Option Valuation in Discrete Timearticle · 3 shared references 2006An exact and explicit solution for the valuation of American put optionsarticle · 3 shared references

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Year2007

Typearticle

Published2007-06-18

VenueNumerische Mathematik

ISSN-L0029-599X

Languageen

Citations20

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.1007/s00211-007-0091-0

openalex_workW2052586330

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