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Brownian Optimal Stopping and Random Walks

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References

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1977Probability Methods for Approximations in Stochastic Control and for Elliptic Equations351 cited
1976On optimal stopping and free boundary problems251 cited
1995CRITICAL STOCK PRICE NEAR EXPIRATION137 cited
1995Weak approximation of solutions of systems of stochastic differential equations99 cited
1998Error estimates for the binomial approximation of American put options65 cited

Cited by

2002An analysis of a least squares regression method for American option pricing344 cited
2005On the convergence from discrete to continuous time in an optimal stopping problem29 cited
2009Optimal convergence rate of the explicit finite difference scheme for American option valuation29 cited
2009Optimal stopping and American options20 cited
2007On the rate of convergence of the binomial tree scheme for American options20 cited
2018

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Dual Pricing of American Options by Wiener Chaos Expansion

18 cited

2007Corrected random walk approximations to free boundary problems in optimal stopping18 cited

2006Error estimates for binomial approximations of game options17 cited

2012Time discretization and quantization methods for optimal multiple switching problem16 cited

2010Optimal Convergence Rate of the Binomial Tree Scheme for American Options with Jump Diffusion and Their Free Boundaries15 cited