Convergence of Snell envelopes and critical prices in the American put. (English) Zbl 0921.90016
Dempster, M. A. H. (ed.) et al., Mathematics of derivative securities. Forewords are given by R. C. Merton and M. F. Atiyah. Cambridge: Cambridge Univ. Press. Publ. Newton Inst. 15, 126-140 (1997).
MSC:
91B28
60G40