Functional convergence of Snell envelopes: Applications to American options approximations

DOI10.1007/s007800050043zbMath0904.90015OpenAlexW2081043305MaRDI 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

stabilitystochastic processesconvergence in distributionSnell envelopeoptimal stopping timesAmerican options pricesoptimal hedging portfolio

Mathematics Subject Classification ID

Related Items (12)

Finite approximation schemes for Lévy processes, and their application to optimal stopping problems ⋮ Applications of weak convergence for hedging of game options ⋮ The random-time binomial model ⋮ Properties of American option prices ⋮ The right time to sell a stock whose price is driven by Markovian noise ⋮ American options in nonlinear markets ⋮ Stochastic approximation methods for American type options ⋮ Error estimates for multinomial approximations of American options in a class of jump diffusion models ⋮ A MULTINOMIAL APPROXIMATION FOR AMERICAN OPTION PRICES IN LÉVY PROCESS MODELS ⋮ Optimal stopping and strong approximation theorems† ⋮ American options and stochastic interest rates ⋮ Quickest search over Brownian channels

This page was built for publication: Functional convergence of Snell envelopes: Applications to American options approximations