Convergence rate of free boundary of numerical scheme for American option
DOI10.3934/DCDSB.2016004zbMATH Open1410.91479OpenAlexW2337345461WikidataQ116009482 ScholiaQ116009482MaRDI QIDQ316892FDOQ316892
Authors: Xinfu Chen, Bei Hu, Yajing Zhang, Jin Liang 
Publication date: 30 September 2016
Published in: Discrete and Continuous Dynamical Systems. Series B (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.3934/dcdsb.2016004
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convergence rateerror estimatefree boundaryAmerican optionsbinomial tree modelexplicit finite difference scheme
Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60) Stopping times; optimal stopping problems; gambling theory (60G40) Finite difference methods for boundary value problems involving PDEs (65N06) Financial applications of other theories (91G80)
Cites Work
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- Convergence of Binomial Tree Methods for European/American Path-Dependent Options
- Option pricing: A simplified approach
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- The Mathematics of Financial Derivatives
- The pricing of the American option
- Numerical analysis on binomial tree methods for a jump-diffusion model.
- Optimal convergence rate of the explicit finite difference scheme for American option valuation
- On the rate of convergence of the binomial tree scheme for American options
- Optimal convergence rate of the binomial tree scheme for American options with jump diffusion and their free boundaries
- CONVEXITY OF THE EXERCISE BOUNDARY OF THE AMERICAN PUT OPTION ON A ZERO DIVIDEND ASSET
- A Mathematical Analysis of the Optimal Exercise Boundary for American Put Options
- Convergence of the Binomial Tree Method for American Options in a Jump-Diffusion Model
- Title not available (Why is that?)
Cited In (5)
- Optimal convergence rate of the binomial tree scheme for American options and their free boundaries
- Convergence of the approximation scheme to American option pricing via the discrete Morse semiflow
- An implicit scheme for American put options
- Convergence Rate of an Explicit Finite Difference Scheme for a Credit Rating Migration Problem
- Optimal convergence rate of the explicit finite difference scheme for American option valuation
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