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

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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 : 10.1051/ps:2002001
Classification : 49L20, 60G40, 65M15, 91B28
Keywords: dynamic programming, snell envelope, optimal stopping 
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
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     title = {Approximation of the {Snell} envelope and american options prices in dimension one},
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     pages = {1--19},
     year = {2002},
     publisher = {EDP-Sciences},
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     doi = {10.1051/ps:2002001},
     mrnumber = {1888135},
     zbl = {0998.60037},
     language = {en},
     url = {http://geodesic.mathdoc.fr/articles/10.1051/ps:2002001/}
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