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- W2068573648 abstract "An optimal convergence rate O(Δx) for an explicit finite difference scheme for a variational inequality problem is obtained under the stability condition σ2ΔtΔx2⩽1 using completely PDE methods. As a corollary, a binomial tree scheme of an American put option (where σ2ΔtΔx2=1) is convergent unconditionally with the rate O((Δt)1/2)." @default.
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- W2068573648 date "2009-08-01" @default.
- W2068573648 modified "2023-10-05" @default.
- W2068573648 title "Optimal convergence rate of the explicit finite difference scheme for American option valuation" @default.
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- W2068573648 doi "https://doi.org/10.1016/j.cam.2008.12.018" @default.
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