Variational inequalities and the pricing of American options
Jaillet, Patrick ; Lamberton, Damien ; Lapeyre, Bernard
HAL, hal-01667008 / Harvested from HAL
Text on HAL
This paper is devoted to the derivation of some regularity properties of pricing functions for American options and to the discussion of numerical methods, based on the Bensoussan-Lions methods of variational inequalities. In particular, we provide a complete justification of the so-called BrennanSchwartz algorithm for the valuation of American put options.
Publié le : 1990-12-04
Classification:  Option pricing,  variational inequalities,  optimal stopping problem,  [QFIN.CP]Quantitative Finance [q-fin]/Computational Finance [q-fin.CP],  [MATH.MATH-PR]Mathematics [math]/Probability [math.PR] 
@article{hal-01667008,
     author = {Jaillet, Patrick and Lamberton, Damien and Lapeyre, Bernard},
     title = {Variational inequalities and the pricing of American options},
     journal = {HAL},
     volume = {1990},
     number = {0},
     year = {1990},
     language = {en},
     url = {http://dml.mathdoc.fr/item/hal-01667008}
}

Jaillet, Patrick; Lamberton, Damien; Lapeyre, Bernard. Variational inequalities and the pricing of American options. HAL, Tome 1990 (1990) no. 0, . http://gdmltest.u-ga.fr/item/hal-01667008/