Functional convergence of Snell envelopes: Applications to American options approximations (Q1387771): 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/10.1007/s007800050043 / rank | |||
Normal rank | |||
Property / OpenAlex ID | |||
Property / OpenAlex ID: W2081043305 / rank | |||
Normal rank |
Revision as of 14:23, 19 March 2024
scientific article
Language | Label | Description | Also known as |
---|---|---|---|
English | Functional convergence of Snell envelopes: Applications to American options approximations |
scientific article |
Statements
Functional convergence of Snell envelopes: Applications to American options approximations (English)
0 references
27 January 1999
0 references
optimal stopping times
0 references
stability
0 references
Snell envelope
0 references
convergence in distribution
0 references
stochastic processes
0 references
American options prices
0 references
optimal hedging portfolio
0 references