Optimal convergence rate of the explicit finite difference scheme for American option valuation

Authors:
Bei Hu;Jin Liang;Lishang Jiang
Affiliations:
Department of Mathematics, University of Notre Dame, Notre Dame, IN 46556, USA;Department of Mathematics, Tongji University, Shanghai 200092, People's Republic of China;Department of Mathematics, Tongji University, Shanghai 200092, People's Republic of China
Venue:
Journal of Computational and Applied Mathematics
Year:
2009

Citing 4
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Abstract

An optimal convergence rate O(@Dx) for an explicit finite difference scheme for a variational inequality problem is obtained under the stability condition @s^2@Dt@Dx^2=