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Jaillet, P., Lamberton, D. and Lapeyre, B. (1990) Variational Inequalities and the Pricing of American Options. Acta Applicandae Mathematicae, 213, 263-289.
http://dx.doi.org/10.1007/BF00047211

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.