论文信息 - Convergence of the trinomial tree method for pricing European/American options

Convergence of the trinomial tree method for pricing European/American options

In this paper, we present a trinomial tree method for pricing options and show its equivalence to certain explicit difference scheme. Using the numerical analysis and the notion of viscosity solution, we prove the uniform convergence of the trinomial tree method for European/American options. The accuracy and efficiency are shown through numerical simulations.

Jaemin Ahn | Minsu Song | M. Song | Jaemin Ahn

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