Convergence of the binomial tree method for Asian options in jump-diffusion models (Q874917)
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scientific article; zbMATH DE number 5141562
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| English | Convergence of the binomial tree method for Asian options in jump-diffusion models |
scientific article; zbMATH DE number 5141562 |
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Convergence of the binomial tree method for Asian options in jump-diffusion models (English)
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10 April 2007
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binomial tree method
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Asian option
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jump-diffusion model
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viscosity solution
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0.9428412
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0.9292937
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0.9273066
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0.91475546
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0.9097898
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0.9079007
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0.9016262
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