Filar, Jerzy; Kang, Boda; Korolkiewicz, Malgorzata - Finance Discipline Group, Business School - 2008
derivatives, diffusion, bino-
mial approximation, numerical methods, time series, actuarial value.
1 Introduction
Weather … option. Here we rely on the fact
that a binomial tree solution can be seen as equivalent to a numerical solution
to a PDE. We … the Black-
Scholes PDE (3.6) for which there is a closed form solution. In our case, we
provide numerical solutions to (3 …