Abstract
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.
| Original language | English |
|---|---|
| Pages (from-to) | 371-380 |
| Number of pages | 10 |
| Journal | Journal of Computational Mathematics |
| Volume | 22 |
| Issue number | 3 |
| Publication status | Published - May 2004 |
| Externally published | Yes |
Keywords
- American option
- Binomial tree method
- Convergence
- Explicit difference
- Numerical analysis
- Viscosity solution
ASJC Scopus subject areas
- Computational Mathematics