Convergence of option rewards for multivariate price processes

DOI10.1090/S0094-9000-2013-00879-5zbMath1274.91443MaRDI QIDQ2849283

Dmitrii S. Silvestrov, Robin Lundgren

Publication date: 17 September 2013

Published in: Theory of Probability and Mathematical Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1090/s0094-9000-2013-00879-5

zbMATH Keywords

convergence; optimal stopping; American option; skeleton approximation; reward; exponential multivariate Brownian price process; Markov-type price process; mean-reverse price process

Mathematics Subject Classification ID

60H10: Stochastic ordinary differential equations (aspects of stochastic analysis)

91G20: Derivative securities (option pricing, hedging, etc.)

Related Items

Optimal Stopping and Reselling of European Options, Convergence of option rewards for multivariate price processes

Uses Software

• OptAn

Cites Work

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