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Convergence of the Binomial Tree Method for American Options in a Jump-Diffusion Model.

Xiao-song QianCheng-long XuLishang JiangBaojun Bian
Published in: SIAM J. Numer. Anal. (2005)
Keyphrases
  • diffusion model
  • tree structure
  • convergence rate
  • pairwise
  • markov chain