Convergence of the Critical Price In the Approximation of American Options |
| |
Authors: | Damien Lamberton |
| |
Affiliation: | Universitéde Marne-la-Vallée, Noisy-le-Grand, France. |
| |
Abstract: | We consider the American put option in the Black-Scholes model. When the value of the option is computed through numerical methods (such as the binomial method and the finite difference method) the approximation yields an approximate critical price. We prove the convergence of this approximate critical price towards the exact critical price. |
| |
Keywords: | |
|
|