Functional convergence of Snell envelopes: Applications to American options approximations
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Publication:1387771
DOI10.1007/s007800050043zbMath0904.90015MaRDI 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
stability; stochastic processes; convergence in distribution; Snell envelope; optimal stopping times; American options prices; optimal hedging portfolio
60G40: Stopping times; optimal stopping problems; gambling theory
60F17: Functional limit theorems; invariance principles
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