American Options - Computational Methods for Quantitative Finance - page 74

5.5 Further Reading
Approximate, semi-analytic solutions of American option pricing problems can, for
example, be found in Barone-Adesi and Whaley [12], Carr [33] or Geske and John-
son [70]. An overview of various methods for pricing an American put in a Black-
Scholes setting is given in Barone-Adesi [11]. A rigorous treatment is provided by
Jaillet et al. [98] where the Brennan and Schwartz algorithm [25]isusedforthedis-
cretization. A semi-smooth Newton approach is analyzed in Ito et al. [84, 92] and
Hager and Wohlmuth [77]. Holtz and Kunoth [87] provide high-order B-spline ap-
proximations for American puts in the Black-Scholes model and the corresponding
Greeks.
Computable a posteriori error bounds on the discretization error in the numerical
solution of American put contracts in a Black-Scholes setting have been obtained
in [126].