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Author: Gapeev, Pavel × Subject: optimal stopping ×

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    An iteration procedure for solving integral equations related to the American put options
    (Berlin : Weierstraß-Institut für Angewandte Analysis und Stochastik, 2006) Belomestny, Denis; Gapeev, Pavel
    A new algorithm for pricing American put option in the Black-Scholes model is presented. It is based on a time discretization of the corresponding integral equation. The proposed iterative procedure for solving the discretized integral equation converges in a finite number of steps and delivers in each step a lower or an upper bound for the price of discretized option on the whole time interval. The method developed can be easily implemented and carried over to the case of more general optimal stopping problems.