Abstract
This paper summarizes the essential results on the pricing of the American option.
Citation
Ravi Myneni. "The Pricing of the American Option." Ann. Appl. Probab. 2 (1) 1 - 23, February, 1992. https://doi.org/10.1214/aoap/1177005768
Information
Published: February, 1992
First available in Project Euclid: 19 April 2007
zbMATH: 0753.60040
MathSciNet: MR1143390
Digital Object Identifier: 10.1214/aoap/1177005768
Subjects:
Primary:
90A09
Secondary:
35R35
,
60G40
,
60J45
Keywords:
free boundary problem
,
Optimal stopping
,
option pricing
,
principle of smooth fit
,
Riesz decomposition
,
Snell envelope
Rights: Copyright © 1992 Institute of Mathematical Statistics
