"Optimal Convergence Rate of the Binomial Tree Scheme for American Options ..."

Jin Liang, Bei Hu, Lishang Jiang (2010)

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DOI: 10.1137/090746239

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type: Journal Article

metadata version: 2023-08-28

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Jin Liang, Bei Hu, Lishang Jiang:
Optimal Convergence Rate of the Binomial Tree Scheme for American Options with Jump Diffusion and Their Free Boundaries. SIAM J. Financial Math. 1(1): 30-65 (2010)

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