Approximation of the Snell envelope and american options prices in dimension one
ESAIM: Probability and Statistics, Tome 6 (2002) , pp. 1-19.

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.

DOI : https://doi.org/10.1051/ps:2002001
Classification : 49L20,  60G40,  65M15,  91B28
Mots clés : dynamic programming, snell envelope, optimal stopping
@article{PS_2002__6__1_0,
author = {Bally, Vlad and Saussereau, Bruno},
title = {Approximation of the Snell envelope and american options prices in dimension one},
journal = {ESAIM: Probability and Statistics},
pages = {1--19},
publisher = {EDP-Sciences},
volume = {6},
year = {2002},
doi = {10.1051/ps:2002001},
zbl = {0998.60037},
mrnumber = {1888135},
language = {en},
url = {http://archive.numdam.org/articles/10.1051/ps:2002001/}
}
Bally, Vlad; Saussereau, Bruno. Approximation of the Snell envelope and american options prices in dimension one. ESAIM: Probability and Statistics, Tome 6 (2002) , pp. 1-19. doi : 10.1051/ps:2002001. http://archive.numdam.org/articles/10.1051/ps:2002001/

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