Geodesic
A note on the pricing of American options
Teoriâ veroâtnostej i ee primeneniâ, Tome 48 (2003) no. 1, pp. 169-177

Voir la notice de l'article provenant de la source Math-Net.Ru

In this paper the optimal stopping problem related to the pricing of perpetual American options in discrete time binomial models is revisited. The value function is calculated for the continuous state space of all real initial values $x>0$ and compared with the solution obtained in the recent literature for a certain discrete state space.
Keywords: American options, optimal stopping. 
@article{TVP_2003_48_1_a10,
     author = {N. Christopeit},
     title = {A note on the pricing of {American} options},
     journal = {Teori\^a vero\^atnostej i ee primeneni\^a},
     pages = {169--177},
     publisher = {mathdoc},
     volume = {48},
     number = {1},
     year = {2003},
     language = {en},
     url = {http://geodesic.mathdoc.fr/item/TVP_2003_48_1_a10/}
}
TY  - JOUR
AU  - N. Christopeit
TI  - A note on the pricing of American options
JO  - Teoriâ veroâtnostej i ee primeneniâ
PY  - 2003
SP  - 169
EP  - 177
VL  - 48
IS  - 1
PB  - mathdoc
UR  - http://geodesic.mathdoc.fr/item/TVP_2003_48_1_a10/
LA  - en
ID  - TVP_2003_48_1_a10
ER  - 
%0 Journal Article
%A N. Christopeit
%T A note on the pricing of American options
%J Teoriâ veroâtnostej i ee primeneniâ
%D 2003
%P 169-177
%V 48
%N 1
%I mathdoc
%U http://geodesic.mathdoc.fr/item/TVP_2003_48_1_a10/
%G en
%F TVP_2003_48_1_a10
N. Christopeit. A note on the pricing of American options. Teoriâ veroâtnostej i ee primeneniâ, Tome 48 (2003) no. 1, pp. 169-177. http://geodesic.mathdoc.fr/item/TVP_2003_48_1_a10/