Approximation of the Snell Envelope and American Options Prices in dimension one

DOI10.1051/ps:2002001zbMath0998.60037OpenAlexW2161842122MaRDI QIDQ4534857

Bruno Saussereau, Vlad Bally

Publication date: 11 June 2002

Published in: ESAIM: Probability and Statistics (Search for Journal in Brave)

Full work available at URL: http://www.numdam.org/item?id=PS_2002__6__1_0

zbMATH Keywords

dynamic programmingBlack-Scholes modeloptimal stopping problemtree method

Mathematics Subject Classification ID

Related Items (1)

On the integral relationship between the early exercise boundary and the value function of the American put option

Cites Work

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• Sur l'approximation des réduites. (On the approximation of residues)
• Error estimates for the binomial approximation of American put options
• Reflected solutions of backward SDE's, and related obstacle problems for PDE's
• Brownian optimal stopping and random walks
• Optimal stopping and embedding
• Error estimates and free-boundary convergence for a finite difference discretization of a parabolic variational inequality

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