Convergence of the Binomial Tree Method for American...

SIAM Journal on Numerical Analysis 2005 / 01 Vol. 42; Iss. 5

Convergence of the Binomial Tree Method for American Options in a Jump-Diffusion Model

Qian, Xiao-song, Xu, Cheng-long, Jiang, Li-shang, Bian, Bao-jun
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Volume:
42
Language:
english
Journal:
SIAM Journal on Numerical Analysis
DOI:
10.1137/s0036142902409744
Date:
January, 2005
File:
PDF, 190 KB
english, 2005
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