Optimal Convergence Rate of the Binomial Tree Scheme for American Options with Jump Diffusion and Their Free Boundaries (Q3402359)
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| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Optimal Convergence Rate of the Binomial Tree Scheme for American Options with Jump Diffusion and Their Free Boundaries |
scientific article |
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Optimal Convergence Rate of the Binomial Tree Scheme for American Options with Jump Diffusion and Their Free Boundaries (English)
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3 February 2010
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convergence rate
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jump diffusion
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explicit difference scheme
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American options
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free boundary
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binomial tree method
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