Variational inequalities and the pricing of American options

DOI10.1007/BF00047211zbMath0714.90004MaRDI QIDQ751451

Patrick Jaillet, Bernard Lapeyre, Damien Lamberton

Publication date: 1990

Published in: Acta Applicandae Mathematicae (Search for Journal in Brave)

zbMATH Keywords

variational inequalitiesoption pricingAmerican optionsBensoussan-Lions methodsBrennan-Schwartz algorithm

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Numerical optimization and variational techniques (65K10) Variational inequalities (49J40) Microeconomic theory (price theory and economic markets) (91B24) Economic growth models (91B62) Stability and convergence of numerical methods for initial value and initial-boundary value problems involving PDEs (65M12) Stopping times; optimal stopping problems; gambling theory (60G40) Diffusion processes (60J60)

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Cites Work

• The Pricing of Options and Corporate Liabilities
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• On optimal stopping and free boundary problems
• On the solution of large, structured linear complementarity problems: The tridiagonal case
• Complementary pivot theory of mathematical programming
• Optimization Problems in the Theory of Continuous Trading
• A new approach to the skorohod problem, and its applications
• Bimatrix Equilibrium Points and Mathematical Programming
• Polyhedral sets having a least element
• A Partition Theorem for Euclidean n-Space
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