Variational inequalities and the pricing of American options

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Publication:751451

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DOI10.1007/BF00047211zbMath0714.90004MaRDI QIDQ751451

Patrick Jaillet, Bernard Lapeyre, Damien Lamberton

Publication date: 1990

Published in: Acta Applicandae Mathematicae (Search for Journal in Brave)

zbMATH Keywords

variational inequalities option pricing American options Bensoussan-Lions methods Brennan-Schwartz algorithm

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Numerical optimization and variational techniques (65K10) Variational inequalities (49J40) Microeconomic theory (price theory and economic markets) (91B24) Economic growth models (91B62) Stability and convergence of numerical methods for initial value and initial-boundary value problems involving PDEs (65M12) Stopping times; optimal stopping problems; gambling theory (60G40) Diffusion processes (60J60)

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Cites Work

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