scientific article; zbMATH DE number 222339

MaRDI QIDQ5285464zbMATH OpenFDO

Authors Guy Barles, Julien Burdeau, Marc Romano, Nicolas Samsœn

Publication date 29 June 1993

zbMATH Keywords

American optionscritical stock price

Mathematics Subject Classification ID

Auctions, bargaining, bidding and selling, and other market models (91B26)

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Cited in

(6)

• Approximation of American put prices by European prices via an embedding method.
• On the regularity of the free boundary in the parabolic obstacle problem. Application to American options
• Error estimates for the binomial approximation of American put options
• On the asymptotic free boundary for the American put option problem
• The critical price of the American put near maturity in the jump diffusion model
• Convexity of the optimal stopping boundary for the American put option

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