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Approximation of the Snell Envelope and AmericanOptions Prices in dimension one
Published online by Cambridge University Press: 15 November 2002
Abstract
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.
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- © EDP Sciences, SMAI, 2002
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