Convergence of the Critical Price In the Approximation of American Options
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Publication:4372008
DOI10.1111/J.1467-9965.1993.TB00086.XzbMATH Open0884.90040OpenAlexW1993626597MaRDI QIDQ4372008FDOQ4372008
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
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Cites Work
- Title not available (Why is that?)
- Variational inequalities and the pricing of American options
- On the pricing of American options
- Option pricing: A simplified approach
- On optimal stopping and free boundary problems
- Probability methods for approximations in stochastic control and for elliptic equations
- Parabolic variational inequalities in one space dimension and smoothness of the free boundary
Cited In (18)
- On the convergence of projected triangular decomposition methods for pricing American options with stochastic volatility
- On convergence of a semi-analytical method for American option pricing
- The American put is log-concave in the log-price
- When does convergence of asset price processes imply convergence of option prices?
- Approximating the exact value of an american option
- Convergence of the approximation scheme to American option pricing via the discrete Morse semiflow
- Title not available (Why is that?)
- Approximation of the Snell Envelope and American Options Prices in dimension one
- Analysis of VIX-linked fee incentives in variable annuities via continuous-time Markov chain approximation
- Stochastic approximation methods for American type options
- American options and stochastic interest rates
- A quasi-analytical interpolation method for pricing American options under general multi-dimensional diffusion processes
- Analytical approximations for the critical stock prices of American options: a performance comparison
- A mathematical modeling for the lookback option with jump-diffusion using binomial tree method
- CONVERGENCE OF AMERICAN OPTION VALUES FROM DISCRETE‐ TO CONTINUOUS‐TIME FINANCIAL MODELS1
- Applications of weak convergence for hedging of game options
- Discrete approximation of finite-horizon American-style options
- Weak convergence for approximation of American option prices
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