Brownian optimal stopping and random walks
From MaRDI portal
Publication:1601761
DOI10.1007/s00245-001-0033-7zbMath1040.60032OpenAlexW2051424746MaRDI QIDQ1601761
Publication date: 27 June 2002
Published in: Applied Mathematics and Optimization (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s00245-001-0033-7
Related Items (18)
Approximation of the Snell Envelope and American Options Prices in dimension one ⋮ Optimal early retirement near the expiration of a pension plan ⋮ Optimal convergence rate of the explicit finite difference scheme for American option valuation ⋮ Dual Pricing of American Options by Wiener Chaos Expansion ⋮ The randomized American option as a classical solution to the penalized problem ⋮ On the binomial approximation of the American put ⋮ Time discretization and quantization methods for optimal multiple switching problem ⋮ Convergence of the approximation scheme to American option pricing via the discrete Morse semiflow ⋮ On the rate of convergence of the binomial tree scheme for American options ⋮ A moments and strike matching binomial algorithm for pricing American put options ⋮ Can high-order convergence of European option prices be achieved with common CRR-type binomial trees? ⋮ Corrected random walk approximations to free boundary problems in optimal stopping ⋮ On the convergence from discrete to continuous time in an optimal stopping problem. ⋮ Error estimates for binomial approximations of game options ⋮ A QUANTIZATION TREE METHOD FOR PRICING AND HEDGING MULTIDIMENSIONAL AMERICAN OPTIONS ⋮ Option convergence rate with geometric random walks approximations ⋮ Error analysis of the optimal quantization algorithm for obstacle problems. ⋮ A EUROPEAN OPTION GENERAL FIRST-ORDER ERROR FORMULA
This page was built for publication: Brownian optimal stopping and random walks
