Convergence of the binomial tree method for American options in a jump-diffusion model | |
Qian, XS[1]; Xu, CL[2]; Jiang, LS[3]; Bian, BJ[4] | |
刊名 | SIAM JOURNAL ON NUMERICAL ANALYSIS
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2005 | |
卷号 | 42页码:1899-1913 |
关键词 | binomial tree method explicit difference method American option jump-diffusion model integrodifferential equation viscosity solution |
ISSN号 | 0036-1429 |
URL标识 | 查看原文 |
内容类型 | 期刊论文 |
URI标识 | http://www.corc.org.cn/handle/1471x/2399722 |
专题 | 上海大学 |
作者单位 | 1.Department of Mathematics, Yangzhou University, Yangzhou 225002, China 2.Department of Applied Mathematics, Tongji University, Shanghai 200092, China 3.Division of Computational Science, E-Institute, Shanghai University, Shanghai 200436, China |
推荐引用方式 GB/T 7714 | Qian, XS[1],Xu, CL[2],Jiang, LS[3],et al. Convergence of the binomial tree method for American options in a jump-diffusion model[J]. SIAM JOURNAL ON NUMERICAL ANALYSIS,2005,42:1899-1913. |
APA | Qian, XS[1],Xu, CL[2],Jiang, LS[3],&Bian, BJ[4].(2005).Convergence of the binomial tree method for American options in a jump-diffusion model.SIAM JOURNAL ON NUMERICAL ANALYSIS,42,1899-1913. |
MLA | Qian, XS[1],et al."Convergence of the binomial tree method for American options in a jump-diffusion model".SIAM JOURNAL ON NUMERICAL ANALYSIS 42(2005):1899-1913. |
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