Year: 2004
Author: Lishang Jiang, Min Dai
Journal of Computational Mathematics, Vol. 22 (2004), Iss. 3 : pp. 371–380
Abstract
This paper is concerned with numerical methods for American option pricing. We employ numerical analysis and the notion of viscosity solution to show uniform convergence of the explicit difference scheme and the binomial tree method. We also prove the existence and convergence of the optimal exercise boundaries in the above approximations.
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Journal Article Details
Publisher Name: Global Science Press
Language: English
DOI: https://doi.org/2004-JCM-8857
Journal of Computational Mathematics, Vol. 22 (2004), Iss. 3 : pp. 371–380
Published online: 2004-01
AMS Subject Headings:
Copyright: COPYRIGHT: © Global Science Press
Pages: 10
Keywords: American option Explicit difference Binomial tree method Convergence Numerical analysis Viscosity solution.