Name
Title | ||
|---|---|---|
Convergence of the Binomial Tree Method for American Options in a Jump-Diffusion Model |
Abstract | ||
|---|---|---|
The paper studies the binomial tree method for American options in a jump-diffusion model. We employ the theory of viscosity solution to show uniform convergence of the binomial tree method for American options. We also prove existence and convergence of the optimal exercise boundary in the binomial tree approximation. In addition, the terminal value of the optimal exercise boundary is given for American options in jump-diffusion models. |
Year | DOI | Venue |
|---|---|---|
2005 | 10.1137/S0036142902409744 | SIAM J. Numerical Analysis |
Keywords | Field | DocType |
american option,uniform convergence,optimal exercise boundary,paper study,jump-diffusion model,american options,binomial tree approximation,viscosity solution,terminal value,binomial tree method,binomial tree | Convergence (routing),Binomial options pricing model,Binomial distribution,Mathematical optimization,Jump diffusion,Binomial approximation,Uniform convergence,Viscosity solution,Trinomial tree,Mathematics | Journal |
Volume | Issue | ISSN |
42 | 5 | 0036-1429 |
Citations | PageRank | References |
3 | 0.97 | 0 |
Authors | ||
4 | ||
Name | Order | Citations | PageRank |
|---|---|---|---|
| Xiao-song Qian | 1 | 3 | 0.97 |
| Cheng-long Xu | 2 | 50 | 7.97 |
| Lishang Jiang | 3 | 29 | 7.79 |
| Bao-jun Bian | 4 | 14 | 3.44 |