The Pricing of the American Option

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February, 1992 The Pricing of the American Option

Ravi Myneni

Ann. Appl. Probab. 2(1): 1-23 (February, 1992). DOI: 10.1214/aoap/1177005768

Abstract

This paper summarizes the essential results on the pricing of the American option.

Ravi Myneni. "The Pricing of the American Option." Ann. Appl. Probab. 2 (1) 1 - 23, February, 1992. https://doi.org/10.1214/aoap/1177005768

Published: February, 1992

First available in Project Euclid: 19 April 2007

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

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Vol.2 • No. 1 • February, 1992

Institute of Mathematical Statistics