Convergence of the approximation scheme to American option pricing via the discrete Morse semiflow

DOI10.1007/s00245-011-9145-xzbMath1242.93144arXiv0910.5594OpenAlexW2067494988MaRDI QIDQ434251

Katsuyuki Ishii, Seiro Omata

Publication date: 10 July 2012

Published in: Applied Mathematics and Optimization (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/0910.5594

zbMATH Keywords

variational inequalitiesviscosity solutionsAmerican optiondiscrete Morse semiflow

Mathematics Subject Classification ID

Variational inequalities (49J40) Optimal stochastic control (93E20) Portfolio theory (91G10)

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