Volume 6, 2002
|Page(s)||1 - 19|
|Published online||15 November 2002|
Approximation of the Snell Envelope and American Options Prices in dimension one
Université du Maine,
Laboratoire Statistiques et Processus, BP. 535,
72017 Le Mans Cedex, France; firstname.lastname@example.org.
2 Université de Franche-Comté, Laboratoire de Mathématiques de Besançon, 16 route de Gray, 25000 Besançon, France; email@example.com.
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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