CONVERGENCE OF THE EXPLICIT DIFFERENCE SCHEME AND THE BINOMIAL TREE METHOD FOR AMERICAN OPTIONS

(整期优先)网络出版时间:2004-03-13
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ThispaperisconcernedwithnumericalmethodsforAmericanoptionpricing.Weemploynumericalanalysisandthenotionofviscositysolutiontoshowuniformconvergenceoftheexplicitdifferenceschemeandthebinomialtreemethod.Wealsoprovetheexistenceandconvergenceoftheoptimalexerciseboundariesintheaboveapproximn.tions.