Convergence of option rewards for Markov type price processes modulated by stochastic indices. I (Q5391403): Difference between revisions
From MaRDI portal
Set profile property. |
Set OpenAlex properties. |
||
| Property / full work available at URL | |||
| Property / full work available at URL: https://doi.org/10.1090/s0094-9000-09-00776-5 / rank | |||
Normal rank | |||
| Property / OpenAlex ID | |||
| Property / OpenAlex ID: W4241948853 / rank | |||
Normal rank | |||
Latest revision as of 10:16, 30 July 2024
scientific article; zbMATH DE number 5875191
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Convergence of option rewards for Markov type price processes modulated by stochastic indices. I |
scientific article; zbMATH DE number 5875191 |
Statements
Convergence of option rewards for Markov type price processes modulated by stochastic indices. I (English)
0 references
6 April 2011
0 references
reward
0 references
convergence
0 references
optimal stopping
0 references
American option
0 references
skeleton approximation
0 references
Markov process
0 references
price process
0 references
modulation
0 references
stochastic index
0 references
