Abstract
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.
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Research supported in part by a contract from Banque INDOSUEZ.
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Jaillet, P., Lamberton, D. & Lapeyre, B. Variational inequalities and the pricing of American options. Acta Appl Math 21, 263–289 (1990). https://doi.org/10.1007/BF00047211
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DOI: https://doi.org/10.1007/BF00047211