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A More Accurate Finite Difference Approximation for the Valuation of Options

✍ Scribed by Georges Courtadon


Book ID
121424693
Publisher
School of Business Administration, University of Washington
Year
1982
Tongue
English
Weight
444 KB
Volume
17
Category
Article
ISSN
0022-1090

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πŸ“œ SIMILAR VOLUMES


Optimal convergence rate of the explicit
✍ Bei Hu; Jin Liang; Lishang Jiang πŸ“‚ Article πŸ“… 2009 πŸ› Elsevier Science 🌐 English βš– 897 KB

An optimal convergence rate O(βˆ†x) for an explicit finite difference scheme for a variational inequality problem is obtained under the stability condition Οƒ 2 βˆ†t βˆ†x 2 1 using completely PDE methods. As a corollary, a binomial tree scheme of an American put option (where Οƒ 2 βˆ†t βˆ†x 2 = 1) is convergent