Convergence of option rewards for multivariate price processes (Q2849283)
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scientific article; zbMATH DE number 6208803
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
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| English | Convergence of option rewards for multivariate price processes |
scientific article; zbMATH DE number 6208803 |
Statements
Convergence of option rewards for multivariate price processes (English)
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17 September 2013
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reward
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convergence
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optimal stopping
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American option
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skeleton approximation
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Markov-type price process
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exponential multivariate Brownian price process
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mean-reverse price process
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0.95633876
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0.92108595
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0.9192619
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0.9047766
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0.8995152
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0.8928864
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