Optimal convergence rate of the explicit finite difference scheme for American option valuation

DOI10.1016/j.cam.2008.12.018zbMath1175.91180WikidataQ116009526 ScholiaQ116009526MaRDI QIDQ2390004

Bei Hu, Jin Liang, Li-Shang Jiang

Publication date: 20 July 2009

Published in: Journal of Computational and Applied Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.cam.2008.12.018

zbMATH Keywords

American put option; explicit finite difference scheme; binomial tree method

Mathematics Subject Classification ID

60H10: Stochastic ordinary differential equations (aspects of stochastic analysis)

91B24: Microeconomic theory (price theory and economic markets)

91G20: Derivative securities (option pricing, hedging, etc.)

35K15: Initial value problems for second-order parabolic equations

Related Items

On modified Mellin transforms, Gauss-Laguerre quadrature, and the valuation of American call options, A EUROPEAN OPTION GENERAL FIRST-ORDER ERROR FORMULA

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