Convergence of binomial tree methods for European/American path-dependent options

SIAM Journal on Numerical Analysis

Volumn 42, Issue 3, 2004, Pages 1094-1109

  Jiang, Lishang ^a   Dai, Min ^b  

^a TONGJI UNIVERSITY   (China)

^b PEKING UNIVERSITY   (China)

Author keywords

Binomial tree method; Convergence; European American path dependent options

Indexed keywords

CONVERGENCE OF NUMERICAL METHODS; FUNCTIONS; MATHEMATICAL MODELS; PARTIAL DIFFERENTIAL EQUATIONS; PROBABILITY; THEOREM PROVING; VISCOSITY;

BINOMIAL TREE METHOD (BTM); CONTINUOUS-TIME MODEL; EUROPEAN/AMERICAN PATH-DEPENDENT OPTIONS; FLEXIBILITY; SIMPLICITY;

TREES (MATHEMATICS);

EID: 21244450415     PISSN: 00361429     EISSN: None     Source Type: Journal    
DOI: 10.1137/S0036142902414220     Document Type: Article

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