Approximation of the Snell Envelope and American Options Prices in dimension one

DOI10.1051/PS:2002001MaRDI QIDQ4534857zbMATH OpenOpenAlexFDO

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, https://eudml.org/doc/244689

zbMATH Keywords

dynamic programmingoptimal stopping problemBlack-Scholes modeltree method

Mathematics Subject Classification ID

Brownian motion (60J65) Discrete approximations in optimal control (49M25) Stopping times; optimal stopping problems; gambling theory (60G40)

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Cites work

• scientific article; zbMATH DE number 3425889 (Why is no real title available?)
• scientific article; zbMATH DE number 3751685 (Why is no real title available?)
• scientific article; zbMATH DE number 48952 (Why is no real title available?)
• scientific article; zbMATH DE number 942202 (Why is no real title available?)
• scientific article; zbMATH DE number 3223982 (Why is no real title available?)
• Brownian optimal stopping and random walks
• Error estimates and free-boundary convergence for a finite difference discretization of a parabolic variational inequality
• Error estimates for the binomial approximation of American put options
• Optimal stopping and embedding
• Reflected solutions of backward SDE's, and related obstacle problems for PDE's
• Sur l'approximation des réduites. (On the approximation of residues)

Cited in

(3)

• On the integral relationship between the early exercise boundary and the value function of the American put option
• Error analysis of the optimal quantization algorithm for obstacle problems.
• Error estimates for approximations of American put option price

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