Path-dependent American options

Etienne Chevalier, Vathana Ly Vath and Mohamed Mnif

Journal of Computational Finance

Abstract: In this paper, we investigate a path-dependent American option problem and provide;an efficient and implementable numerical scheme for the solution of its associated;path-dependent variational inequality.We obtain the viscosity characterization of our;value function and suggest a monotone, stable and consistent numerical scheme, the;convergence of which is proven thanks to the uniqueness property.We further enrich;our study by providing and implementing a numerical algorithm. Some numerical;results are also included.

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