The paper studies the binomial tree method for American options in a jump-diffusion model. We employ the theory of viscosity solution to show uniform convergence of the binomial tree method for ...

The computation usually requires a binomial tree model and may not always arrive at one unique value.

By integrating NPI imprecise probability and expectation with the classical financial binomial tree model, two rational decision routes for asset trading and for European option trading are suggested.

This course is concerned with a mathematical development of the risk-neutral valuation theory. In the context of the binomial tree model for a risky asset, the course introduces the concepts of ...