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On the Use of Policy Iteration as an Easy Way of Pricing American Options
American Option Linear Complementarity Problem
2011/3/4
Finite di erence or nite element approximations of the value function of an American option usually result in discrete linear complementarity problems (LCP).
On backward stochastic differential equations approach to valuation of American options
Backward stochastic differential equation Obstacle problem American option
2011/2/24
We consider the problem of valuation of American (call and put) options written on a dividend paying stock governed by the geometric Brownian motion. We show that the value function has two different ...