Functional convergence of Snell envelopes: Applications to American options approximations
DOI10.1007/S007800050043zbMATH Open0904.90015OpenAlexW2081043305MaRDI QIDQ1387771FDOQ1387771
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
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stabilitystochastic processesconvergence in distributionSnell envelopeoptimal stopping timesAmerican options pricesoptimal hedging portfolio
Functional limit theorems; invariance principles (60F17) Stopping times; optimal stopping problems; gambling theory (60G40)
Cited In (16)
- Functional central limit theorems for rough volatility
- 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 under model uncertainty and the regularity of lower Snell envelopes
- Approximation of the Snell Envelope and American Options Prices in dimension one
- Optimal stopping and strong approximation theorems†
- Finite approximation schemes for Lévy processes, and their application to optimal stopping problems
- The random-time binomial model
- Stochastic approximation methods for American type options
- American options in nonlinear markets
- American options and stochastic interest rates
- Applications of weak convergence for hedging of game options
- Quickest search over Brownian channels
- Minimax theorems for American options without time-consistency
- The right time to sell a stock whose price is driven by Markovian noise
- Properties of American option prices
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