| Issue |
ESAIM: PS
Volume 6, 2002
|
|
|---|---|---|
| Page(s) | 1 - 19 | |
| DOI | https://doi.org/10.1051/ps:2002001 | |
| Published online | 15 November 2002 | |
Approximation of the Snell Envelope and American Options Prices in dimension one
1
Université du Maine,
Laboratoire Statistiques et Processus, BP. 535,
72017 Le Mans Cedex, France; bally@ccr.jussieu.fr.
2
Université de Franche-Comté,
Laboratoire de Mathématiques de Besançon, 16 route de Gray,
25000 Besançon, France; bruno.saussereau@math.univ-fcomte.fr.
Received:
15
February
2001
Revised:
13
November
2001
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.
Mathematics Subject Classification: 49L20 / 60G40 / 65M15 / 91B28
Key words: Dynamic programming / snell envelope / optimal stopping.
© EDP Sciences, SMAI, 2002
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