Convergence of the Critical Price In the Approximation of American Options
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Publication:4372008
DOI10.1111/j.1467-9965.1993.tb00086.xzbMath0884.90040OpenAlexW1993626597MaRDI QIDQ4372008
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
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Cites Work
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- Variational inequalities and the pricing of American options
- Probability methods for approximations in stochastic control and for elliptic equations
- On the pricing of American options
- Parabolic variational inequalities in one space dimension and smoothness of the free boundary
- On optimal stopping and free boundary problems
- Option pricing: A simplified approach
