The Pricing of the American Option
Myneni, Ravi
Ann. Appl. Probab., Tome 2 (1992) no. 4, p. 1-23 / Harvested from Project Euclid
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This paper summarizes the essential results on the pricing of the American option.
Publié le : 1992-02-14
Classification:  Option pricing,  Riesz decomposition,  optimal stopping,  Snell envelope,  principle of smooth fit,  free boundary problem,  90A09,  60G40,  35R35,  60J45 
@article{1177005768,
     author = {Myneni, Ravi},
     title = {The Pricing of the American Option},
     journal = {Ann. Appl. Probab.},
     volume = {2},
     number = {4},
     year = {1992},
     pages = { 1-23},
     language = {en},
     url = {http://dml.mathdoc.fr/item/1177005768}
}

Myneni, Ravi. The Pricing of the American Option. Ann. Appl. Probab., Tome 2 (1992) no. 4, pp.  1-23. http://gdmltest.u-ga.fr/item/1177005768/