Abstract
We discuss the convergence of prices of standard American-style options in a complete market setting. We consider the continuous Black-Merton-Scholes model and discrete Cox-Ross-Rubinstein model and establish results for both customer and purchaser options. In the optimal stopping problem, we consider both cases \(r\; \geqslant \;\frac{{\sigma ^2 }}{2}\) and \(r\; < \;\frac{{\sigma ^2 }}{2}\).
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Translated from Lietuvos Matematikos Rinkinys, Vol. 45, No. 4, pp. 525–536, October–December, 2005.
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Ivanov, R.V. Discrete Approximation of Finite-Horizon American-Style Options. Lith Math J 45, 424–433 (2005). https://doi.org/10.1007/s10986-006-0005-3
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DOI: https://doi.org/10.1007/s10986-006-0005-3