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ArticleBrownian Optimal Stopping and Random Walks

Damien Lamberton2002

Article2002

Brownian Optimal Stopping and Random Walks

Damien Lamberton

39 citations·0/0 files stored·Applied Mathematics & Optimization

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Stochastic processes and financial applications Probability and Statistical Research Probability and Risk Models

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References

2016Numerical solution of stochastic differential equations 1990The Analytic Valuation of American Options 1996American Option Valuation: New Bounds, Approximations, and a Comparison of Existing Methods 1996The law of the Euler scheme for stochastic differential equations 1977Probability Methods for Approximations in Stochastic Control and for Elliptic Equations 1976On optimal stopping and free boundary problems 1995CRITICAL STOCK PRICE NEAR EXPIRATION 1995Weak approximation of solutions of systems of stochastic differential equations

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2002An analysis of a least squares regression method for American option pricing 2009Optimal convergence rate of the explicit finite difference scheme for American option valuation 2005On the convergence from discrete to continuous time in an optimal stopping problem 2009Optimal stopping and American options 2007On the rate of convergence of the binomial tree scheme for American options 2018

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Year2002

Typearticle

Published2002-01-01

VenueApplied Mathematics & Optimization

ISSN-L0095-4616

Languageen

Citations39

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.1007/s00245-001-0033-7

openalex_workW2051424746

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Dual Pricing of American Options by Wiener Chaos Expansion

2007Corrected random walk approximations to free boundary problems in optimal stopping

2006Error estimates for binomial approximations of game options