We study the existence of solutions to backward stochastic differential equations with drivers f(t,W,y,z) that are convex in z. We assume f to be Lipschitz in y and W but do not make growth assumptions with respect to z. We first show the existence of a unique solution (Y,Z) with bounded Z if...

An algorithm is proposed for the discrete approximation of continuous market price processes that uses trees instead of lattices. It is shown that it is convergent when used for pricing both European and American options and that it is more efficient, for some models, than the usual recombining...