Approximation of the Snell Envelope and AmericanOptions Prices in dimension one

Author： Bally Vlad   Saussereau Bruno  

Publisher： Edp Sciences

E-ISSN： 1262-3318|6|issue|1-19

ISSN： 1292-8100

Source： ESAIM: Probability and Statistics, Vol.6, Iss.issue, 2010-03, pp. : 1-19

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