American Option Prices as Unique Viscosity Solutions to Degenerated Hamilton-Jacobi-Bellman Equations

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HAL Id: inria-00072718

https://hal.inria.fr/inria-00072718

Submitted on 24 May 2006

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American Option Prices as Unique Viscosity Solutions to Degenerated Hamilton-Jacobi-Bellman Equations

Claude Martini

To cite this version:

Claude Martini. American Option Prices as Unique Viscosity Solutions to Degenerated Hamilton- Jacobi-Bellman Equations. [Research Report] RR-3934, INRIA. 2000. �inria-00072718�

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ISSN 0249-6399 ISRN INRIA/RR--3934--FR+ENG

a p p o r t

d e r e c h e r c h e

INSTITUT NATIONAL DE RECHERCHE EN INFORMATIQUE ET EN AUTOMATIQUE

American option prices as unique viscosity solutions to degenerated

Hamilton-Jacobi-Bellman equations

C.Martini

No 3934

Avril 2000

TH `EME 4

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