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Optimal stopping and embedding

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References

1999Continuous Martingales and Brownian Motion6,253 cited
1977Probability Methods for Approximations in Stochastic Control and for Elliptic Equations351 cited
1998Error estimates for the binomial approximation of American put options65 cited

Cited by

2009Optimal stopping and American options20 cited
2007On the rate of convergence of the binomial tree scheme for American options20 cited
2006Error estimates for binomial approximations of game options17 cited
2010Optimal Convergence Rate of the Binomial Tree Scheme for American Options with Jump Diffusion and Their Free Boundaries15 cited

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