The pricing of the American option

DOI10.1214/aoap/1177005768zbMath0753.60040OpenAlexW2082707462MaRDI QIDQ1186292

Ravi Myneni

Publication date: 28 June 1992

Published in: The Annals of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1214/aoap/1177005768

zbMATH Keywords

optimal stoppingnumerical methodsfree boundary problemsgeometric Brownian motionGirsanov theoremvaluation problem for American options

Mathematics Subject Classification ID

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