Approximation of the Snell Envelope and American Options Prices in dimension one
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Publication:4534857
DOI10.1051/PS:2002001zbMATH Open0998.60037OpenAlexW2161842122MaRDI QIDQ4534857FDOQ4534857
Authors: Bruno Saussereau, Vlad Bally 
Publication date: 11 June 2002
Published in: ESAIM: Probability and Statistics (Search for Journal in Brave)
Full work available at URL: http://www.numdam.org/item?id=PS_2002__6__1_0
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Brownian motion (60J65) Discrete approximations in optimal control (49M25) Stopping times; optimal stopping problems; gambling theory (60G40)
Cites Work
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- Reflected solutions of backward SDE's, and related obstacle problems for PDE's
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- Brownian optimal stopping and random walks
- Error estimates for the binomial approximation of American put options
- Optimal stopping and embedding
- Error estimates and free-boundary convergence for a finite difference discretization of a parabolic variational inequality
- Sur l'approximation des réduites. (On the approximation of residues)
Cited In (3)
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