Variational inequalities and the pricing of american options

This service is more advanced with JavaScript available, learn more at http: 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 Brennan-Schwartz algorithm for the valuation of American put options.

Part of Springer Nature. Not logged in Not affiliated Variational inequalities and the pricing of American options.

Cite this article as: Acta Appl Math Research supported in part by a contract from Banque INDOSUEZ. Sobolev SpacesAcademic Press, New York, On the theory of option pricing, Acta Appl. The pricing of options and corporate liabilities, J. The valuation of the American put option, J. Finance 32— A special case of the complementary pivot problem, Opsearch 7— A note on the complexity of LCP: Complementary pivot theory of mathematical programming, Linear Optionshouse trading cost Appl.

On the solution of large, structured linear complementary problems: Polyhedral sets having a least element. Programming 3— A probabilistic approach to the reduite, preprint, A new approach to the Skorohod youtube vsa forex and its applications.

To appear in Stochastics.

Hughes Optioneering

Stochastic Differential Forexnetgain.net review2 vols.

Parabolic variational inequalities in one space dimension and smoothness of the free boundary, J. Foreign currency option values, J.

variational inequalities and the pricing of american options

Variational inequalities and the pricing of american options Finance 2— Martingales and stochastic integrals in the theory of continuous trading, Stochastic Process. On the pricing of American options, Appl. Applications of stochastic calculus in financial economics, to appear in Lecture Notes in Control and Information Sciences.

Variational inequalities and the pricing of American options | SpringerLink

Optimization problems in the theory of continuous trading, SIAM J. An Introduction to Variational Inequalities and their ApplicationsAcademic Press, New York, Linear and Quasilinear Equations of Parabolic Typetranslations of Mathematical Monographs 23, AMS, Bimatrix equilibrium points and mathematical programming, Management Sci. Notes in MathematicsSpringer-Verlag, New York,pp.

A note on a special linear complementary problem, Opsearch 7— A partition theorem for Euclidean n -space, Proc. Principal pivoting transforms of square matrices, SIAM Rev. On optimal stopping and free boundary problems, Arch.

CERMA-ENPC La Courtine Noisy le Grand France. Publisher Name Kluwer Academic Publishers Print ISSN Online ISSN About this journal Reprints and Permissions. Source Sans Pro, Helvetica, Arial, sans-serif; font-size: Unlimited access to the full article Instant download Include local sales tax if applicable. Get Access to Acta Applicandae Mathematica. Learn about institutional subscriptions.

variational inequalities and the pricing of american options

RIS Papers Reference Manager RefWorks Zotero. BIB BibTeX JabRef Mendeley. Share article Email Facebook Twitter LinkedIn. Cookies We use cookies to improve your experience with our site.

Over 10 million scientific documents at your fingertips Switch Edition Academic Edition Corporate Edition.

inserted by FC2 system