Nystrom, K. (2008) On the Behaviour near Expiry for Multi-Dimensional American Options. Journal of Mathematical Analysis and Applications, 339, 644-654.
http://dx.doi.org/10.1016/j.jmaa.2007.06.068

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.