Convergence rate of free boundary of numerical scheme for American option (Q316892)
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scientific article; zbMATH DE number 6631387
| Language | Label | Description | Also known as |
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| default for all languages | No label defined |
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| English | Convergence rate of free boundary of numerical scheme for American option |
scientific article; zbMATH DE number 6631387 |
Statements
Convergence rate of free boundary of numerical scheme for American option (English)
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30 September 2016
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convergence rate
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free boundary
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American options
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error estimate
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explicit finite difference scheme
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binomial tree model
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0.8549197912216187
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0.8527756929397583
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0.8297764658927917
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0.8181638717651367
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