Optimal Convergence Rate of the Binomial Tree Scheme for American Options and Their Free Boundaries

DOI10.1142/9789814578097_0011zbMath1299.91169MaRDI QIDQ2928491

Jin Liang, Li-Shang Jiang

Publication date: 7 November 2014

Published in: Frontiers in Differential Geometry, Partial Differential Equations and Mathematical Physics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1142/9789814578097_0011

Mathematics Subject Classification ID

91G60: Numerical methods (including Monte Carlo methods)

65M06: Finite difference methods for initial value and initial-boundary value problems involving PDEs

65M12: Stability and convergence of numerical methods for initial value and initial-boundary value problems involving PDEs

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

65K15: Numerical methods for variational inequalities and related problems