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LATTICE OPTION PRICING BY MULTIDIMENSIONAL INTERPOLATION

✍ Scribed by Vladislav Kargin

Book ID
111043027
Publisher
John Wiley and Sons
Year
2005
Tongue
English
Weight
107 KB
Volume
15
Category
Article
ISSN
0960-1627

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This concept may be illustrated by considering two sequences: (a, = 1 -1/27 and (b, = 1 -1/ n). Both sequences converge to 1 but the sequence (a,) converges to 1 faster than the sequence (bJ. At the 0.05 precision level, the minimum convergence step for a, is 5, while the minimum convergence step f

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