American Option Valuation under Continuous-Time Markov Chains (Q5262446): Difference between revisions

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+Convergence of the trinomial tree method for pricing European/American options
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+Some remarks on first passage of Lévy processes, the American put and pasting principles
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+OPTION PRICING FOR TRUNCATED LÉVY PROCESSES
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+Error estimates for the binomial approximation of American put options
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+The Smooth-Fit Property in an Exponential Lévy Model
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+Exercise boundary of the American put near maturity in an exponential Lévy model
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+CONTINUOUSLY MONITORED BARRIER OPTIONS UNDER MARKOV PROCESSES
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+ON THE AMERICAN OPTION PROBLEM
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+Finite approximation schemes for Lévy processes, and their application to optimal stopping problems
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+An Artificial Boundary Method for American Option Pricing under the CEV Model
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