Convergence of the Critical Price In the Approximation of American Options

DOI10.1111/J.1467-9965.1993.TB00086.XMaRDI QIDQ4372008zbMATHOpenAlexFDO

Authors Damien Lamberton

Publication date 21 January 1998

Published in Mathematical Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1111/j.1467-9965.1993.tb00086.x

zbMATH Keywords

Black-Scholes modelAmerican put option

Mathematics Subject Classification ID

Microeconomic theory (price theory and economic markets) (91B24)

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Cites work

• scientific article; zbMATH DE number 3716008 (Why is no real title available?)
• On optimal stopping and free boundary problems
• On the pricing of American options
• Option pricing: A simplified approach
• Parabolic variational inequalities in one space dimension and smoothness of the free boundary
• Probability methods for approximations in stochastic control and for elliptic equations
• Variational inequalities and the pricing of American options

Cited in

(18)

• Convergence of the approximation scheme to American option pricing via the discrete Morse semiflow
• On convergence of a semi-analytical method for American option pricing
• A quasi-analytical interpolation method for pricing American options under general multi-dimensional diffusion processes
• Approximating the exact value of an american option
• Analytical approximations for the critical stock prices of American options: a performance comparison
• Applications of weak convergence for hedging of game options
• On the convergence of projected triangular decomposition methods for pricing American options with stochastic volatility
• Analysis of VIX-linked fee incentives in variable annuities via continuous-time Markov chain approximation
• Stochastic approximation methods for American type options
• CONVERGENCE OF AMERICAN OPTION VALUES FROM DISCRETE‐ TO CONTINUOUS‐TIME FINANCIAL MODELS¹
• scientific article; zbMATH DE number 797366 (Why is no real title available?)
• American options and stochastic interest rates
• Discrete approximation of finite-horizon American-style options
• Weak convergence for approximation of American option prices
• The American put is log-concave in the log-price
• When does convergence of asset price processes imply convergence of option prices?
• A mathematical modeling for the lookback option with jump-diffusion using binomial tree method
• Approximation of the Snell Envelope and American Options Prices in dimension one

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