On the pricing of American options
Author:
Publisher
Springer Science and Business Media LLC
Subject
Applied Mathematics,Control and Optimization
Link
http://link.springer.com/content/pdf/10.1007/BF01448358.pdf
Reference19 articles.
1. Bensoussan A (1984) On the theory of option pricing. Acta Appl Math 2:139?158
2. Bismut JM, Skalli B (1977) Temps d'arrêt optimal, théorie générale de processus et processus de Markov. Z Wahrsch Verw Gebiete 39:301?313
3. Black F, Scholes M (1973) The pricing of options and corporate liabilities. J. Polit Econ 81:637?659
4. El Karoui N (1981) Les Aspects Probabilistes du Contrôle Stochastique. Lecture Notes in Mathematics, vol 876. Springer-Verlag, Berlin, pp 73?238
5. Fakeev AG (1970) Optimal stopping rules for processes with continuous parameter. Theory Probab Appl 15:324?331
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