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Optimal Convergence Rate of the Binomial Tree Scheme for American Options with Jump Diffusion and Their Free Boundaries.
Jin Liang
Bei Hu
Lishang Jiang
Published in:
SIAM J. Financial Math. (2010)
Keyphrases
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convergence rate
convergence speed
step size
learning rate
competitive ratio
lp norm
gradient method
wavelet neural network
primal dual
global convergence
dynamic programming
tree structure
mutation operator
optimal solution
multi objective
gravitational search algorithm