首页 | 本学科首页   官方微博 | 高级检索  
     


Convergence of the Critical Price In the Approximation of American Options
Authors:Damien Lamberton
Affiliation:Universitéde Marne-la-Vallée, Noisy-le-Grand, France.
Abstract:We consider the American put option in the Black-Scholes model. When the value of the option is computed through numerical methods (such as the binomial method and the finite difference method) the approximation yields an approximate critical price. We prove the convergence of this approximate critical price towards the exact critical price.
Keywords:
设为首页 | 免责声明 | 关于勤云 | 加入收藏

Copyright©北京勤云科技发展有限公司  京ICP备09084417号