Approximation of American put prices by European prices via an embedding method.

DOI10.1214/aoap/1015961161zbMath1033.60051OpenAlexW1966215153MaRDI QIDQ1872409

Benjamin Jourdain, Claude Martini

Publication date: 6 May 2003

Published in: The Annals of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1214/aoap/1015961161

zbMATH Keywords

approximation methodsoptimal stoppingoption pricingAmerican optionsfree boundary problems

Mathematics Subject Classification ID

Related Items (3)

Are American options European after all? ⋮ On a Neural Network to Extract Implied Information from American Options ⋮ A moments and strike matching binomial algorithm for pricing American put options

Cites Work

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• Multigrid Algorithms for the Solution of Linear Complementarity Problems Arising from Free Boundary Problems
• ALTERNATIVE CHARACTERIZATIONS OF AMERICAN PUT OPTIONS
• American prices embedded in European prices

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