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Journal Articles Acta Applicandae Mathematicae Year : 1990

Variational inequalities and the pricing of American options

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Abstract

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 and versions

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

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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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