Convergence rate of free boundary of numerical scheme for American option
Publication:316892
DOI10.3934/DCDSB.2016004zbMath1410.91479OpenAlexW2337345461WikidataQ116009482 ScholiaQ116009482MaRDI QIDQ316892
Xinfu Chen, Yajing Zhang, Bei Hu, Jin Liang
Publication date: 30 September 2016
Published in: Discrete and Continuous Dynamical Systems. Series B (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.3934/dcdsb.2016004
error estimateAmerican optionsconvergence ratefree boundarybinomial tree modelexplicit finite difference scheme
Numerical methods (including Monte Carlo methods) (91G60) Stopping times; optimal stopping problems; gambling theory (60G40) Financial applications of other theories (91G80) Derivative securities (option pricing, hedging, etc.) (91G20) Finite difference methods for boundary value problems involving PDEs (65N06)
Related Items (2)
Cites Work
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- A Mathematical Analysis of the Optimal Exercise Boundary for American Put Options
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- The Mathematics of Financial Derivatives
- Option pricing: A simplified approach
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