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Teoriya Veroyatnostei i ee Primeneniya, 2003, Volume 48, Issue 1, Pages 169–177
DOI: https://doi.org/10.4213/tvp308 (Mi tvp308) 		 
Short Communications

A note on the pricing of American options

N. Christopeit

University of Bonn
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DOI: https://doi.org/10.4213/tvp308
Abstract: In this paper the optimal stopping problem related to the pricing of perpetual American options in discrete time binomial models is revisited. The value function is calculated for the continuous state space of all real initial values $x>0$ and compared with the solution obtained in the recent literature for a certain discrete state space.
Keywords: American options, optimal stopping.
Received: 27.03.2002
English version:
Theory of Probability and its Applications, 2004, Volume 48, Issue 1, Pages 131–140
DOI: https://doi.org/10.1137/S0040585X980221
Bibliographic databases:
Document Type: Article
Language: English
Citation: N. Christopeit, “A note on the pricing of American options”, Teor. Veroyatnost. i Primenen., 48:1 (2003), 169–177; Theory Probab. Appl., 48:1 (2004), 131–140
Citation in format AMSBIB
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    		Теория вероятностей и ее применения Theory of Probability and its Applications
     
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