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CONVERGENCE OF BINOMIAL TREE METHOD FOR AMERICAN OPTIONS

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Stochastic processes and financial applications Nonlinear Partial Differential Equations Differential Equations and Numerical Methods

Abstract

We employ numerical analysis and the notion of viscosity solution to show uniform convergence of the binomial tree method for American vanilla options. We also prove existence and convergence of the optimal exercise boundary in the binomial tree approximation. In addition, we extend the above results to American ∞oating strike lookback options.

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1994Option pricing: Mathematical models and computation

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