Geodesic
Probabilistic approach to a free boundary problem and American option procing
Zapiski Nauchnykh Seminarov POMI, Probability and statistics. Part 16, Tome 384 (2010), pp. 40-77 Cet article a éte moissonné depuis la source Math-Net.Ru

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In this paper we discuss a probabilistic approach to the construction of a solution of a free boundary problem for parabolic and integro-differential equations which is associated with an optimization problem for a stochastic equation with diffusion and jumps. The results are applied to calculation of American option prices in Black–Scholes and Merton models. Bibl. 22 titles. 
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Ya. I. Belopolskaya; M. M. Romadanova. Probabilistic approach to a free boundary problem and American option procing. Zapiski Nauchnykh Seminarov POMI, Probability and statistics. Part 16, Tome 384 (2010), pp. 40-77. http://geodesic.mathdoc.fr/item/ZNSL_2010_384_a3/

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