Convergence rate of free boundary of numerical scheme for American option

DOI10.3934/DCDSB.2016004MaRDI QIDQ316892zbMATH OpenOpenAlexWikidataFDO

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

zbMATH Keywords

American optionsbinomial tree modelconvergence rateerror estimateexplicit finite difference schemefree boundary

Mathematics Subject Classification ID

Stopping times; optimal stopping problems; gambling theory (60G40) Finite difference methods for boundary value problems involving PDEs (65N06) Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60) Financial applications of other theories (91G80)

Recommendations

• Optimal convergence rate of the binomial tree scheme for American options and their free boundaries
• Optimal convergence rate of the explicit finite difference scheme for American option valuation
• scientific article; zbMATH DE number 2104606
• Optimal convergence rate of the binomial tree scheme for American options with jump diffusion and their free boundaries
• On the rate of convergence of the binomial tree scheme for American options

Cites work

• A Mathematical Analysis of the Optimal Exercise Boundary for American Put Options
• Convergence of Binomial Tree Methods for European/American Path-Dependent Options
• Convergence of the Binomial Tree Method for American Options in a Jump-Diffusion Model
• CONVEXITY OF THE EXERCISE BOUNDARY OF THE AMERICAN PUT OPTION ON A ZERO DIVIDEND ASSET
• scientific article; zbMATH DE number 3899626 (Why is no real title available?)
• scientific article; zbMATH DE number 2104606 (Why is no real title available?)
• scientific article; zbMATH DE number 2233868 (Why is no real title available?)
• Numerical analysis on binomial tree methods for a jump-diffusion model.
• 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
• Optimal convergence rate of the explicit finite difference scheme for American option valuation
• Option pricing: A simplified approach
• The Mathematics of Financial Derivatives
• The pricing of the American option

Cited in

(6)

• Optimal convergence rate of the explicit finite difference scheme for American option valuation
• 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
• Convergence Rate of an Explicit Finite Difference Scheme for a Credit Rating Migration Problem
• An implicit scheme for American put options
• A pricing model of airbag options with discrete monitoring

This page was built for publication: Convergence rate of free boundary of numerical scheme for American option

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q316892)