Recombining Tree Approximations for Optimal Stopping for Diffusions (Q4579835)

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scientific article; zbMATH DE number 6915871
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Recombining Tree Approximations for Optimal Stopping for Diffusions
scientific article; zbMATH DE number 6915871

    Statements

    title
    Recombining Tree Approximations for Optimal Stopping for Diffusions (English)
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    author
    Erhan Bayraktar
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    Yan Dolinsky
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    Jia Guo
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    publication date
    10 August 2018
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    zbMATH Keywords
    American options
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    optimal stopping
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    recombining trees
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    Skorohkhod embedding
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    cites work
    Q4433608
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    Q4039796
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    Game options
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    Q3378055
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    Identifiers

    DOI
    10.1137/17M1118865
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    Mathematics Subject Classification ID
    60G40
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    60J60
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    62L15
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    91G60
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    zbMATH DE Number
    6915871
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    arXiv ID
    1610.00554
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