In the model for pricing American options in the Black-Scholes setting with explicit finite-differencing, what is the

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In the model for pricing American options in the Black-Scholes setting with explicit finite-differencing, what is the main advantage of making a logarithmic transformation of the stock price?

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Derivatives Principles And Practice

ISBN: 9780078034732

2nd Edition

Authors: Rangarajan Sundaram

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Question Posted: Jan 18, 2024 05:00 AM

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In the model for pricing American options in the Black-Scholes setting with explicit finite-differencing, what is the

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As we have seen explicit finitedifferencing is analogous to a trinomial tree mo...View the full answer

Derivatives Principles And Practice

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