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On convergence of a semi-analytical method for American option pricing

✍ Scribed by Xiaotie Deng; Yonggeng Gu; Shouyang Wang; Shunming Zhang

Book ID: 108175383
Publisher: Elsevier Science
Year: 2006
Tongue: English
Weight: 115 KB
Volume: 313
Category: Article
ISSN: 0022-247X
DOI: 10.1016/j.jmaa.2005.09.020

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## Abstract For derivative securities that must be valued by numerical techniques, the trade‐off between accuracy and computation time can be a severe limitation. For standard lattice methods, improvements are achievable by modifying the underlying structure of these lattices; however, convergence