Convergence of binomial tree method for American options

MaRDI QIDQ2759779zbMATH OpenFDO

Authors Min Dai, Lishang Jiang

Publication date 18 December 2001

zbMATH Keywords

convergence of the optimal exercise boundaryviscosity solution

Mathematics Subject Classification ID

Theoretical approximation in context of PDEs (35A35) Unilateral problems for linear parabolic equations and variational inequalities with linear parabolic operators (35K85) Mathematical economics (91B99)

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(20)

• Randomized binomial tree and pricing of American-style options
• Convergence of the trinomial tree method for pricing European/American options
• On the rate of convergence of the binomial tree scheme for American options
• Smooth convergence in the binomial model
• Pricing of perpetual American and Bermudan options by binomial tree method
• On the analytical/numerical pricing of American put options against binomial tree prices
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• Optimal convergence rate of the binomial tree scheme for American options and their free boundaries
• Optimal convergence rate of the binomial tree scheme for American options with jump diffusion and their free boundaries
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• Convergence of the Critical Price In the Approximation of American Options
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• One-state variable binomial models for European-/American-style geometric Asian options
• Convergence of Binomial Tree Methods for European/American Path-Dependent Options
• Convergence of the Binomial Tree Method for American Options in a Jump-Diffusion Model
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• Optimal portfolio choice in a binomial-tree and its convergence
• Convergence rate of the binomial tree scheme for continuously paying options
• Truncation and acceleration of the Tian tree for the pricing of American put options
• Convergence of the binomial tree method for Asian options in jump-diffusion models

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