On convergence of a semi-analytical method for American option pricing (Q2577164)

The authors examine the valuation of American put options by a semi-analytical method, and obtain the prior estimate and the convergence of the approximate solution. Their proofs are based on the embedded theorem in Sobolev space and the theory of functional analysis, in particular, the theory of weak compactness. The results confirm empirical observations that these methods are accurate and computationally efficient.