Finite approximation schemes for Lévy processes, and their application to optimal stopping problems

DOI10.1016/J.SPA.2007.01.012MaRDI QIDQ2381968zbMATHOpenAlexFDO

Authors Alex Szimayer, Ross A. Maller

Publication date 26 September 2007

Published in Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.spa.2007.01.012

zbMATH Keywords

approximationoptimal stoppingLévy process

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Strong limit theorems (60F15) Stopping times; optimal stopping problems; gambling theory (60G40) (L^p)-limit theorems (60F25)

Recommendations

• Discrete-type approximations for non-Markovian optimal stopping problems. I
• A MULTINOMIAL APPROXIMATION FOR AMERICAN OPTION PRICES IN LÉVY PROCESS MODELS
• Discrete time approximation of BSDEs driven by a Lévy process
• Weak convergence for approximation of American option prices
• Pricing American options for jump diffusions by iterating optimal stopping problems for diffusions

Cites work

• scientific article; zbMATH DE number 1619467 (Why is no real title available?)
• scientific article; zbMATH DE number 4034749 (Why is no real title available?)
• scientific article; zbMATH DE number 4081235 (Why is no real title available?)
• scientific article; zbMATH DE number 3478187 (Why is no real title available?)
• scientific article; zbMATH DE number 3538599 (Why is no real title available?)
• scientific article; zbMATH DE number 1095739 (Why is no real title available?)
• scientific article; zbMATH DE number 1985272 (Why is no real title available?)
• scientific article; zbMATH DE number 3447884 (Why is no real title available?)
• scientific article; zbMATH DE number 918811 (Why is no real title available?)
• scientific article; zbMATH DE number 1402217 (Why is no real title available?)
• A MULTINOMIAL APPROXIMATION FOR AMERICAN OPTION PRICES IN LÉVY PROCESS MODELS
• Convergence of values in optimal stopping and convergence of optimal stopping times
• Error estimates for the binomial approximation of American put options
• Functional convergence of Snell envelopes: Applications to American options approximations
• Lévy Processes and Stochastic Calculus
• Martingales and stochastic integrals in the theory of continuous trading
• On the Random Walk and Brownian Motion
• Stochastic bounds for Lévy processes.
• Strong approximations of stochastic differential equations with jumps
• The Euler scheme for Lévy driven stochastic differential equations: limit theorems.
• The Variance Gamma Process and Option Pricing
• The pricing of the American option
• Tightness criteria for laws of semimartingales

Cited in

(10)

• First jump approximation of a Lévy-driven SDE and an application to multivariate ECOGARCH processes
• Weighted empirical processes in the nonparametric inference for Lévy processes
• GARCH modelling in continuous time for irregularly spaced time series data
• Optimal simulation schemes for Lévy driven stochastic differential equations
• Optimal stopping of Markov processes: Hilbert space theory, approximation algorithms, and an application to pricing high-dimensional financial derivatives
• scientific article; zbMATH DE number 6705403 (Why is no real title available?)
• Approximation of stochastic integrals with jumps via weighted BMO approach
• Approximation and simulation of infinite-dimensional Lévy processes
• The disorder problem for purely jump Lévy processes with completely monotone jumps
• American Option Valuation under Continuous-Time Markov Chains

This page was built for publication: Finite approximation schemes for Lévy processes, and their application to optimal stopping problems

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2381968)