TY - JOUR
T1 - Convergence of the Explicit Difference Scheme and the Binomial Tree Method for American Options
AU - Jiang , Lishang
AU - Dai , Min
JO - Journal of Computational Mathematics
VL - 3
SP - 371
EP - 380
PY - 2004
DA - 2004/06
SN - 22
DO - http://doi.org/
UR - https://global-sci.org/intro/article_detail/jcm/8857.html
KW - American option, Explicit difference, Binomial tree method, Convergence, Numerical analysis, Viscosity solution.
AB - <p style="text-align: justify;">This paper is concerned with numerical methods for American option pricing. We employ numerical analysis and the notion of viscosity solution to show uniform convergence of the explicit difference scheme and the binomial tree method. We also prove the existence and convergence of the optimal exercise boundaries in the above approximations.</p>