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

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Mathematical Models Of Financial Derivative

ISBN: 9783642447938

2nd Edition

Authors: Yue-Kuen Kwok

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Question Posted: Dec 05, 2023 01:13 AM

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Show that the width of the domain of dependence of the trinomial scheme (see Fig. 6.5) increases

Question:

(X,, 0) (x, nΔt) (x, 0) ηΔι (x+, 0)

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Mathematical Models Of Financial Derivative

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