Approximation of the Snell Envelope and American Options Prices in dimension one (Q4534857)
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scientific article; zbMATH DE number 1754239
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| English | Approximation of the Snell Envelope and American Options Prices in dimension one |
scientific article; zbMATH DE number 1754239 |
Statements
Approximation of the Snell Envelope and American Options Prices in dimension one (English)
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11 June 2002
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dynamic programming
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optimal stopping problem
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Black-Scholes model
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tree method
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0.8008084297180176
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0.8008082509040833
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0.7995296716690063
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0.7955487370491028
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0.7941499948501587
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