Approximation of the Snell Envelope and American Options Prices in dimension one
ESAIM: Probability and Statistics (2010)
- Volume: 6, page 1-19
- ISSN: 1292-8100
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topBally, Vlad, and Saussereau, Bruno. "Approximation of the Snell Envelope and American Options Prices in dimension one." ESAIM: Probability and Statistics 6 (2010): 1-19. <http://eudml.org/doc/104288>.
@article{Bally2010,
abstract = {
We establish some error estimates for the approximation of an
optimal stopping problem along the paths of the Black–Scholes
model. This approximation is based on a tree method. Moreover, we
give a global approximation result for the related obstacle
problem.
},
author = {Bally, Vlad, Saussereau, Bruno},
journal = {ESAIM: Probability and Statistics},
keywords = {Dynamic programming; snell envelope; optimal stopping.; dynamic programming; optimal stopping problem; Black-Scholes model; tree method},
language = {eng},
month = {3},
pages = {1-19},
publisher = {EDP Sciences},
title = {Approximation of the Snell Envelope and American Options Prices in dimension one},
url = {http://eudml.org/doc/104288},
volume = {6},
year = {2010},
}
TY - JOUR
AU - Bally, Vlad
AU - Saussereau, Bruno
TI - Approximation of the Snell Envelope and American Options Prices in dimension one
JO - ESAIM: Probability and Statistics
DA - 2010/3//
PB - EDP Sciences
VL - 6
SP - 1
EP - 19
AB -
We establish some error estimates for the approximation of an
optimal stopping problem along the paths of the Black–Scholes
model. This approximation is based on a tree method. Moreover, we
give a global approximation result for the related obstacle
problem.
LA - eng
KW - Dynamic programming; snell envelope; optimal stopping.; dynamic programming; optimal stopping problem; Black-Scholes model; tree method
UR - http://eudml.org/doc/104288
ER -
References
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