{"id":"https://openalex.org/W3123668884","doi":"https://doi.org/10.1137/s0036142902414220","title":"Convergence of Binomial Tree Methods for European/American Path-Dependent Options","display_name":"Convergence of Binomial Tree Methods for European/American Path-Dependent Options","publication_year":2004,"publication_date":"2004-01-01","ids":{"openalex":"https://openalex.org/W3123668884","doi":"https://doi.org/10.1137/s0036142902414220","mag":"3123668884"},"language":"en","primary_location":{"id":"doi:10.1137/s0036142902414220","is_oa":false,"landing_page_url":"https://doi.org/10.1137/s0036142902414220","pdf_url":null,"source":{"id":"https://openalex.org/S203348814","display_name":"SIAM Journal on Numerical Analysis","issn_l":"0036-1429","issn":["0036-1429","1095-7170"],"is_oa":false,"is_in_doaj":false,"is_core":true,"host_organization":"https://openalex.org/P4310320508","host_organization_name":"Society for Industrial and Applied Mathematics","host_organization_lineage":["https://openalex.org/P4310320508"],"host_organization_lineage_names":["Society for Industrial and Applied Mathematics"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"SIAM Journal on Numerical Analysis","raw_type":"journal-article"},"type":"article","indexed_in":["crossref"],"open_access":{"is_oa":false,"oa_status":"closed","oa_url":null,"any_repository_has_fulltext":false},"authorships":[{"author_position":"first","author":{"id":"https://openalex.org/A5108599240","display_name":"Lishang Jiang","orcid":null},"institutions":[],"countries":[],"is_corresponding":false,"raw_author_name":"Lishang Jiang","raw_affiliation_strings":[],"raw_orcid":null,"affiliations":[]},{"author_position":"last","author":{"id":"https://openalex.org/A5077020574","display_name":"Min Dai","orcid":"https://orcid.org/0000-0002-8270-9413"},"institutions":[],"countries":[],"is_corresponding":false,"raw_author_name":"Min Dai","raw_affiliation_strings":[],"raw_orcid":null,"affiliations":[]}],"institutions":[],"countries_distinct_count":0,"institutions_distinct_count":0,"corresponding_author_ids":[],"corresponding_institution_ids":[],"apc_list":null,"apc_paid":null,"fwci":5.0102,"has_fulltext":false,"cited_by_count":77,"citation_normalized_percentile":{"value":0.95607077,"is_in_top_1_percent":false,"is_in_top_10_percent":true},"cited_by_percentile_year":{"min":90,"max":99},"biblio":{"volume":"42","issue":"3","first_page":"1094","last_page":"1109"},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T10067","display_name":"Stochastic processes and financial applications","score":0.9994999766349792,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},"topics":[{"id":"https://openalex.org/T10067","display_name":"Stochastic processes and financial applications","score":0.9994999766349792,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T11976","display_name":"Capital Investment and Risk Analysis","score":0.987500011920929,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T10047","display_name":"Financial Markets and Investment Strategies","score":0.963699996471405,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}}],"keywords":[{"id":"https://openalex.org/keywords/binomial-options-pricing-model","display_name":"Binomial options pricing model","score":0.9484492540359497},{"id":"https://openalex.org/keywords/mathematics","display_name":"Mathematics","score":0.7182176113128662},{"id":"https://openalex.org/keywords/path-dependent","display_name":"Path dependent","score":0.650727391242981},{"id":"https://openalex.org/keywords/binomial","display_name":"Binomial (polynomial)","score":0.6231493353843689},{"id":"https://openalex.org/keywords/valuation-of-options","display_name":"Valuation of options","score":0.5978592038154602},{"id":"https://openalex.org/keywords/convergence","display_name":"Convergence (economics)","score":0.5570171475410461},{"id":"https://openalex.org/keywords/path","display_name":"Path (computing)","score":0.517924964427948},{"id":"https://openalex.org/keywords/valuation","display_name":"Valuation (finance)","score":0.5161786675453186},{"id":"https://openalex.org/keywords/tree","display_name":"Tree (set theory)","score":0.5002832412719727},{"id":"https://openalex.org/keywords/variable","display_name":"Variable (mathematics)","score":0.4776395857334137},{"id":"https://openalex.org/keywords/trinomial-tree","display_name":"Trinomial tree","score":0.45349299907684326},{"id":"https://openalex.org/keywords/applied-mathematics","display_name":"Applied mathematics","score":0.4387661814689636},{"id":"https://openalex.org/keywords/asian-option","display_name":"Asian option","score":0.4386330246925354},{"id":"https://openalex.org/keywords/exotic-option","display_name":"Exotic option","score":0.4346487522125244},{"id":"https://openalex.org/keywords/mathematical-optimization","display_name":"Mathematical optimization","score":0.41966676712036133},{"id":"https://openalex.org/keywords/econometrics","display_name":"Econometrics","score":0.3402813673019409},{"id":"https://openalex.org/keywords/computer-science","display_name":"Computer science","score":0.19530615210533142},{"id":"https://openalex.org/keywords/finance","display_name":"Finance","score":0.14944663643836975},{"id":"https://openalex.org/keywords/statistics","display_name":"Statistics","score":0.1414947807788849},{"id":"https://openalex.org/keywords/mathematical-analysis","display_name":"Mathematical analysis","score":0.13037317991256714},{"id":"https://openalex.org/keywords/economics","display_name":"Economics","score":0.1048726737499237}],"concepts":[{"id":"https://openalex.org/C105235620","wikidata":"https://www.wikidata.org/wiki/Q1138253","display_name":"Binomial options pricing model","level":3,"score":0.9484492540359497},{"id":"https://openalex.org/C33923547","wikidata":"https://www.wikidata.org/wiki/Q395","display_name":"Mathematics","level":0,"score":0.7182176113128662},{"id":"https://openalex.org/C3020054081","wikidata":"https://www.wikidata.org/wiki/Q1093521","display_name":"Path dependent","level":2,"score":0.650727391242981},{"id":"https://openalex.org/C2781315470","wikidata":"https://www.wikidata.org/wiki/Q193623","display_name":"Binomial (polynomial)","level":2,"score":0.6231493353843689},{"id":"https://openalex.org/C194483076","wikidata":"https://www.wikidata.org/wiki/Q380382","display_name":"Valuation of options","level":2,"score":0.5978592038154602},{"id":"https://openalex.org/C2777303404","wikidata":"https://www.wikidata.org/wiki/Q759757","display_name":"Convergence (economics)","level":2,"score":0.5570171475410461},{"id":"https://openalex.org/C2777735758","wikidata":"https://www.wikidata.org/wiki/Q817765","display_name":"Path (computing)","level":2,"score":0.517924964427948},{"id":"https://openalex.org/C186027771","wikidata":"https://www.wikidata.org/wiki/Q4008379","display_name":"Valuation (finance)","level":2,"score":0.5161786675453186},{"id":"https://openalex.org/C113174947","wikidata":"https://www.wikidata.org/wiki/Q2859736","display_name":"Tree (set theory)","level":2,"score":0.5002832412719727},{"id":"https://openalex.org/C182365436","wikidata":"https://www.wikidata.org/wiki/Q50701","display_name":"Variable (mathematics)","level":2,"score":0.4776395857334137},{"id":"https://openalex.org/C166827900","wikidata":"https://www.wikidata.org/wiki/Q7843049","display_name":"Trinomial tree","level":4,"score":0.45349299907684326},{"id":"https://openalex.org/C28826006","wikidata":"https://www.wikidata.org/wiki/Q33521","display_name":"Applied mathematics","level":1,"score":0.4387661814689636},{"id":"https://openalex.org/C1898038","wikidata":"https://www.wikidata.org/wiki/Q728255","display_name":"Asian option","level":3,"score":0.4386330246925354},{"id":"https://openalex.org/C138060521","wikidata":"https://www.wikidata.org/wiki/Q584207","display_name":"Exotic option","level":3,"score":0.4346487522125244},{"id":"https://openalex.org/C126255220","wikidata":"https://www.wikidata.org/wiki/Q141495","display_name":"Mathematical optimization","level":1,"score":0.41966676712036133},{"id":"https://openalex.org/C149782125","wikidata":"https://www.wikidata.org/wiki/Q160039","display_name":"Econometrics","level":1,"score":0.3402813673019409},{"id":"https://openalex.org/C41008148","wikidata":"https://www.wikidata.org/wiki/Q21198","display_name":"Computer science","level":0,"score":0.19530615210533142},{"id":"https://openalex.org/C10138342","wikidata":"https://www.wikidata.org/wiki/Q43015","display_name":"Finance","level":1,"score":0.14944663643836975},{"id":"https://openalex.org/C105795698","wikidata":"https://www.wikidata.org/wiki/Q12483","display_name":"Statistics","level":1,"score":0.1414947807788849},{"id":"https://openalex.org/C134306372","wikidata":"https://www.wikidata.org/wiki/Q7754","display_name":"Mathematical analysis","level":1,"score":0.13037317991256714},{"id":"https://openalex.org/C162324750","wikidata":"https://www.wikidata.org/wiki/Q8134","display_name":"Economics","level":0,"score":0.1048726737499237},{"id":"https://openalex.org/C199360897","wikidata":"https://www.wikidata.org/wiki/Q9143","display_name":"Programming language","level":1,"score":0.0},{"id":"https://openalex.org/C50522688","wikidata":"https://www.wikidata.org/wiki/Q189833","display_name":"Economic growth","level":1,"score":0.0}],"mesh":[],"locations_count":1,"locations":[{"id":"doi:10.1137/s0036142902414220","is_oa":false,"landing_page_url":"https://doi.org/10.1137/s0036142902414220","pdf_url":null,"source":{"id":"https://openalex.org/S203348814","display_name":"SIAM Journal on Numerical Analysis","issn_l":"0036-1429","issn":["0036-1429","1095-7170"],"is_oa":false,"is_in_doaj":false,"is_core":true,"host_organization":"https://openalex.org/P4310320508","host_organization_name":"Society for Industrial and Applied Mathematics","host_organization_lineage":["https://openalex.org/P4310320508"],"host_organization_lineage_names":["Society for Industrial and Applied Mathematics"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"SIAM Journal on Numerical Analysis","raw_type":"journal-article"}],"best_oa_location":null,"sustainable_development_goals":[],"awards":[],"funders":[],"has_content":{"grobid_xml":false,"pdf":false},"content_urls":null,"referenced_works_count":16,"referenced_works":["https://openalex.org/W1558902221","https://openalex.org/W1590646785","https://openalex.org/W1600624394","https://openalex.org/W1982181315","https://openalex.org/W2032056897","https://openalex.org/W2032316144","https://openalex.org/W2047272700","https://openalex.org/W2073780676","https://openalex.org/W2086551551","https://openalex.org/W2096554972","https://openalex.org/W2109906816","https://openalex.org/W2146612430","https://openalex.org/W2152335679","https://openalex.org/W2177195156","https://openalex.org/W2584776593","https://openalex.org/W3125092866"],"related_works":["https://openalex.org/W2909024759","https://openalex.org/W4232457754","https://openalex.org/W3202665858","https://openalex.org/W2398094524","https://openalex.org/W2358089627","https://openalex.org/W2612960204","https://openalex.org/W1185248147","https://openalex.org/W649070193","https://openalex.org/W2994322484","https://openalex.org/W2104626160"],"abstract_inverted_index":{"The":[0],"binomial":[1,71],"tree":[2,72],"method,":[3],"first":[4],"proposed":[5],"by":[6],"Cox,":[7],"Ross,":[8],"and":[9,53,85],"Rubinstein":[10],"[Journal":[11],"of":[12,21,44,56,70],"Financial":[13],"Economics,":[14],"7":[15],"(1979),":[16],"pp.":[17],"229--263],":[18],"is":[19],"one":[20],"the":[22,42,54,67],"most":[23],"popular":[24],"approaches":[25],"to":[26,41,65],"pricing":[27],"options.":[28,46],"By":[29],"introducing":[30],"an":[31],"additional":[32],"path-dependent":[33,45,76],"variable,":[34],"such":[35],"methods":[36,73],"can":[37],"be":[38],"readily":[39],"extended":[40],"valuation":[43],"In":[47],"this":[48],"paper,":[49],"using":[50],"numerical":[51],"analysis":[52],"notion":[55],"viscosity":[57],"solutions,":[58],"we":[59],"present":[60],"a":[61],"unifying":[62],"theoretical":[63],"framework":[64],"show":[66],"uniform":[68],"convergence":[69],"for":[74],"European/American":[75],"options,":[77,81,84],"including":[78],"arithmetic":[79],"average":[80,83],"geometric":[82],"lookback":[86],"options.}":[87]},"counts_by_year":[{"year":2026,"cited_by_count":1},{"year":2025,"cited_by_count":1},{"year":2024,"cited_by_count":2},{"year":2023,"cited_by_count":2},{"year":2022,"cited_by_count":4},{"year":2021,"cited_by_count":3},{"year":2020,"cited_by_count":3},{"year":2019,"cited_by_count":1},{"year":2018,"cited_by_count":2},{"year":2017,"cited_by_count":10},{"year":2016,"cited_by_count":3},{"year":2015,"cited_by_count":1},{"year":2014,"cited_by_count":4},{"year":2013,"cited_by_count":4},{"year":2012,"cited_by_count":7}],"updated_date":"2025-11-06T03:46:38.306776","created_date":"2025-10-10T00:00:00"}
