Optimal Convergence Rate of the Binomial Tree Scheme for...

Optimal Convergence Rate of the Binomial Tree Scheme for American Options with Jump Diffusion and Their Free Boundaries

Liang, Jin, Hu, Bei, Jiang, Lishang
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Volume:
1
Language:
english
Journal:
SIAM Journal on Financial Mathematics
DOI:
10.1137/090746239
Date:
January, 2010
File:
PDF, 446 KB
english, 2010
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