Functional convergence of Snell envelopes: Applications to American options approximations

DOI10.1007/S007800050043MaRDI QIDQ1387771zbMATH OpenOpenAlexFDO

Authors Sabrina Mulinacci, M. 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

Functional limit theorems; invariance principles (60F17) Stopping times; optimal stopping problems; gambling theory (60G40)

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Cited in

(16)

• American options in nonlinear markets
• The right time to sell a stock whose price is driven by Markovian noise
• Error estimates for multinomial approximations of American options in a class of jump diffusion models
• Properties of American option prices
• Optimal stopping and strong approximation theorems†
• Optimal stopping under model uncertainty and the regularity of lower Snell envelopes
• Applications of weak convergence for hedging of game options
• The random-time binomial model
• A MULTINOMIAL APPROXIMATION FOR AMERICAN OPTION PRICES IN LÉVY PROCESS MODELS
• Stochastic approximation methods for American type options
• Finite approximation schemes for Lévy processes, and their application to optimal stopping problems
• Minimax theorems for American options without time-consistency
• American options and stochastic interest rates
• Functional central limit theorems for rough volatility
• Quickest search over Brownian channels
• Approximation of the Snell Envelope and American Options Prices in dimension one

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