Variational inequalities and the pricing of American options (Q751451): Difference between revisions
From MaRDI portal
Added link to MaRDI item. |
Set profile property. |
||
| Property / MaRDI profile type | |||
| Property / MaRDI profile type: MaRDI publication profile / rank | |||
Normal rank | |||
Revision as of 01:07, 5 March 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Variational inequalities and the pricing of American options |
scientific article |
Statements
Variational inequalities and the pricing of American options (English)
0 references
1990
0 references
option pricing
0 references
American options
0 references
Bensoussan-Lions methods
0 references
variational inequalities
0 references
Brennan-Schwartz algorithm
0 references
