Chockalingam, Arun; Muthuraman, Kumar - In: European Journal of Operational Research 240 (2015) 2, pp. 431-438
We present a method to solve the free-boundary problem that arises in the pricing of classical American options. Such free-boundary problems arise when one attempts to solve optimal-stopping problems set in continuous time. American option pricing is one of the most popular optimal-stopping...