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Optimal Convergence Rate of the Binomial Tree Scheme for American Options with Jump Diffusion and Their Free Boundaries
Liang, Jin, Hu, Bei, Jiang, LishangVolume:
1
Language:
english
Journal:
SIAM Journal on Financial Mathematics
DOI:
10.1137/090746239
Date:
January, 2010
File:
PDF, 446 KB
english, 2010