Variational inequalities and the pricing of American options (Q751451)
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scientific article; zbMATH DE number 4176767
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Variational inequalities and the pricing of American options |
scientific article; zbMATH DE number 4176767 |
Statements
Variational inequalities and the pricing of American options (English)
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1990
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option pricing
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American options
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Bensoussan-Lions methods
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variational inequalities
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Brennan-Schwartz algorithm
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