Authors
Lishang Jiang, Min Dai
Publication date
2004
Journal
SIAM Journal on Numerical Analysis
Volume
42
Issue
3
Pages
1094-1109
Publisher
Society for Industrial and Applied Mathematics
Description
The binomial tree method, first proposed by Cox, Ross, and Rubinstein [Journal of Financial Economics, 7 (1979), pp. 229--263], is one of the most popular approaches to pricing options. By introducing an additional path-dependent variable, such methods can be readily extended to the valuation of path-dependent options. In this paper, using numerical analysis and the notion of viscosity solutions, we present a unifying theoretical framework to show the uniform convergence of binomial tree methods for European/American path-dependent options, including arithmetic average options, geometric average options, and lookback options.}
Total citations
Scholar articles
L Jiang, M Dai - SIAM Journal on Numerical Analysis, 2004
M Dai, L Jiang - FREE BOUNDARY PROBLEMS: THEORY AND …, 2002