# 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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