Lattices and American options#
Binomial and trinomial trees, their convergence to Black-Scholes, early exercise of American options, and an analytic approximation to it.
Cox-Ross-Rubinstein: the binomial tree converges to Black-Scholes
Cox-Ross-Rubinstein: the binomial tree converges to Black-Scholes
Cox-Ross-Rubinstein: the American put and its exercise boundary
Cox-Ross-Rubinstein: the American put and its exercise boundary
