Show that the width of the domain of dependence of the trinomial scheme (see Fig. 6.5) increases
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Show that the width of the domain of dependence of the trinomial scheme (see Fig. 6.5) increases as √n, where n is the number of time steps to expiry.
Fig. 6.5
Transcribed Image Text:
(X,, 0) (x, nΔt) (x, 0) ηΔι (x+, 0)
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