Convergence of Binomial Tree Methods for European/American Path-Dependent Options

DOI10.1137/S0036142902414220zbMath1159.91392OpenAlexW3123668884MaRDI QIDQ4653901

Min Dai, Li-Shang Jiang

Publication date: 1 March 2005

Published in: SIAM Journal on Numerical Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1137/s0036142902414220

zbMATH Keywords

convergencebinomial tree methodEuropean/American path-dependent options

Mathematics Subject Classification ID

Optimal stochastic control (93E20) Derivative securities (option pricing, hedging, etc.) (91G20)

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