Functional convergence of Snell envelopes: Applications to American options approximations

DOI10.1007/s007800050043zbMath0904.90015MaRDI QIDQ1387771

Sabrina Mulinacci, Maurizio Pratelli

Publication date: 27 January 1999

Published in: Finance and Stochastics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s007800050043

zbMATH Keywords

stability; stochastic processes; convergence in distribution; Snell envelope; optimal stopping times; American options prices; optimal hedging portfolio

Mathematics Subject Classification ID

60G40: Stopping times; optimal stopping problems; gambling theory

60F17: Functional limit theorems; invariance principles

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