Approximation of the Snell Envelope and American Options Prices in dimension one (Q4534857)
From MaRDI portal
scientific article; zbMATH DE number 1754239
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Approximation of the Snell Envelope and American Options Prices in dimension one |
scientific article; zbMATH DE number 1754239 |
Statements
Approximation of the Snell Envelope and American Options Prices in dimension one (English)
0 references
11 June 2002
0 references
dynamic programming
0 references
optimal stopping problem
0 references
Black-Scholes model
0 references
tree method
0 references
