Lamberton, D. and Villeneuve, S. (2003) Critical Price near Maturity for an American Option on a Dividend-Paying Stock. The Annals of Applied Probability, 13, 800-815.
http://dx.doi.org/10.1214/aoap/1050689604

has been cited by the following article:

• TITLE: L∞-Asymptotic Behavior of the Variational Inequality Related to American Options Problem

  AUTHORS: Djaber Chemseddine Benchettah, Mohamed Haiour

  KEYWORDS: American Options, Finite Elements, Parabolic Variational Inequalities, Fixed Point, Asymptotic Behavior

  JOURNAL NAME: Applied Mathematics, Vol.5 No.8, May 15, 2014

  ABSTRACT: We study the approximation of variational inequality related to American options problem. A simple proof to asymptotic behavior is also given using the theta time scheme combined with a finite element spatial approximation in uniform norm, which enables us to locate free boundary in practice.