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High-accuracy finite-difference methods for the valuation of options

โœ Scribed by Chawla, M. M.; Evans, D. J.


Book ID
111921105
Publisher
Taylor and Francis Group
Year
2005
Tongue
English
Weight
190 KB
Volume
82
Category
Article
ISSN
0020-7160

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๐Ÿ“œ SIMILAR VOLUMES


Optimal convergence rate of the explicit
โœ Bei Hu; Jin Liang; Lishang Jiang ๐Ÿ“‚ Article ๐Ÿ“… 2009 ๐Ÿ› Elsevier Science ๐ŸŒ English โš– 897 KB

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