This appendix describes the algorithm proposed by Grant, Vora and Weeks  that is used to determine the value of an American option, where the value of an American option is approximated as if it were a European option by determining the optimal exercise boundary or threshold curve.
|Title of host publication||Studies in Computational Intelligence|
|Editors||Marco A. C. Pacheco, Marley M. B. R. Vellasco|
|Place of Publication||Berlin, Heidelberg|
|ISBN (Print)||9783540929994, 9783540930006|
|State||Published - 2009|