Variational inequalities and the pricing of American options
نویسندگان
چکیده
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 varia-tional inequalities. In particular, we provide a complete justiication of the so-called Brennan-Schwartz algorithm for the valuation of Ameri-can put options.
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