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Article Dans Une Revue Acta Applicandae Mathematicae Année : 1990

Variational inequalities and the pricing of American options

Résumé

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.

Dates et versions

hal-01667008 , version 1 (19-12-2017)

Identifiants

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Patrick Jaillet, Damien Lamberton, Bernard Lapeyre. Variational inequalities and the pricing of American options. Acta Applicandae Mathematicae, 1990, 21 (3), pp.263 - 289. ⟨10.1007/BF00047211⟩. ⟨hal-01667008⟩
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