| Article ID | Journal | Published Year | Pages | File Type |
|---|---|---|---|---|
| 4635407 | Applied Mathematics and Computation | 2007 | 8 Pages |
Abstract
In this paper, we present a trinomial tree method for pricing options and show its equivalence to certain explicit difference scheme. Using the numerical analysis and the notion of viscosity solution, we prove the uniform convergence of the trinomial tree method for European/American options. The accuracy and efficiency are shown through numerical simulations.
Keywords
Related Topics
Physical Sciences and Engineering
Mathematics
Applied Mathematics
Authors
Jaemin Ahn, Minsu Song,