Li, Yan; Zhang, Zhengce; Hu, Bei Convergence rate of an explicit finite difference scheme for a credit rating migration problem. (English) Zbl 1395.65049 SIAM J. Numer. Anal. 56, No. 4, 2430-2460 (2018). Reviewer: Nikolay Kyurkchiev (Plovdiv) MSC: 65M12 65M06 35K40 35R35 91G60 × Cite Format Result Cite Review PDF Full Text: DOI
Liang, Jin; Hu, Bei; Jiang, Lishang; Bian, Baojun On the rate of convergence of the binomial tree scheme for American options. (English) Zbl 1210.91147 Numer. Math. 107, No. 2, 333-352 (2007). MSC: 91G60 91G20 65M06 65M12 × Cite Format Result Cite Review PDF Full Text: DOI